O. Henry does not actually say that Della is prettier than the Queen of Sheba; he only says that Della's hair would have been envied by the Queen of Sheba.
Had the Queen of Sheba lived in the flat across the airshaft, Della would have let her hair hang out the window some day to dry just to depreciate Her Majesty's jewels and gifts.
This is the wildest kind of hyperbole. Imagine the Queen of Sheba living across the airshaft from Jim and Della's $8-a-week-apartment!
The Queen gave King Solomon 120 talents of gold. But he already had an income of 666 talents of gold per year, as stated in the Bible (King James Version):
Now the weight of gold that came to Solomon in one year was six hundred threescore and six talents of gold.
A talent was an ancient unit of weight and value in Rome, Greece and the Middle East. One talent weighed approximately seventy-five pounds, meaning the Queen of Sheba presented King Solomon with about nine thousand pounds of gold. That is 144,000 ounces. The current price of gold is around $1300 per ounce.
O. Henry's hyperbole is meant to imply, by exaggeration, the value that Della placed on her beautiful long hair, her only treasure. This, of course, will be important when she decides to sell it so she can buy her husband a Christmas present. She will be making a great sacrifice.
Since O. Henry was writing a Christmas story, probably for a Christmas edition of the newspaper he worked for, it seems appropriate that there should be references and allusions to the Bible. In addition to the Queen of Sheba, O. Henry mentions King Solomon and devotes an entire paragraph at the end of his story to the three kings, or Magi, who brought fabulous gifts to the baby Jesus on his birthday, which was traditionally the origin of Christmas and gift-giving.