I think you are both right and wrong. Visually, yorda has some kind of cell shading look going on her.
Cell shading is defined by abrupt and visible lines that separate lit from shadowed areas on a shaded surface. Yorda has just that, except that the separation line is not exactly abrupt but softened a bit instead.
However, this effect is probably produced by stencil shadowing that is used for self shadowing on Ico and Yorda, and it just happens that it looks the way it does on yorda, because of her plain white dress. If what I'm speculating here is true, then technically it's not cell shading, becuase then every game that uses this type of self shadowing (Doom 3, Silent Hill 3) could be said to be cell shaded, which just doesn't ring true with me.