
PeachBlossomGoddess:
It may have come from 夜叉 (Yaksha) or nocturnal demons or ghosts from the Buddhist myths. For the drama they may have replaced the 叉 character with 煞 Shà, to avoid distorting Buddhist mythology. And the 煞 Shà makes sense as it often denotes "evil spirit," "baleful influence," or "malignant force," in Daoist and folklore to denote harmful supernatural entities (e.g., 凶煞, 煞气).
Ah, cool!
The translation of Fury also works very well, if you go with the more archaic, mythological definition, i.e. a Fury -- a spirit of punishment. Though, interestingly, it is usually female and often comes in threes, the Furies.