Lady Macbeth's line "Oh never shall sun that morrow see" is a powerful expression of her despair and guilt. It shows that she is already starting to crack under the pressure of her guilt, and that she is close to the breaking point.
This line also foreshadows the events of the rest of the play. Lady Macbeth will eventually go mad and die, and Macbeth will be defeated and killed. The sun will not rise on a new day for either of them.