Is the following sentence correctly written?
Maggie sighed, “I don't know,” she complained.
Should Maggie sighed be a separate sentence?
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Try making it a separate sentence and see what happens:
Maggie sighed. “I don't know,” she complained.
It's fine! You now have two perfectly good sentences.
We can conclude that the original "sentence" was not correctly written; it is really two sentences mistakenly joined together with a comma.
Update: Technically, the original sentence has a comma splice joining what could otherwise be two independent clauses. As pointed out in comments, a comma splice often can be fixed by replacing the comma with a semicolon rather than a period (full stop). Moreover, even the prohibition of comma splices is not absolute. For example, "I came, I saw, I conquered." Commas can preserve the rhythm of a sequence of several short independent clauses.
I would still argue against the comma splice in the question, partly because the two independent clauses do not establish much of a rhythm, but mainly because the insertion of the direct quote seems (to me) to spoil the rhythm a comma splice would require.
"Maggie sighed" and "she complained" can both be used, but only one of them. It would be correct to separate Maggie sighed like you said. You can also say
"I don't know", Maggie sighed in complaint but that's weird. The best option is still to just separate Maggie sighed.
If you remove the dialogue part, the sentence should still be grammatically correct. I believe you can use that as a general rule:
[N] Maggie sighed [""] she complained.
[Y] Maggie sighed. [""] She complained.
It would be nice to hear the rest of the dialogue for context, but as it stands, I agree with the first answer.
If you're writing fiction, try not to tell the reader what the character is thinking but show it. The sigh is good because it's showing, it's visual. Try to make it obvious in the dialogue that precedes or follows that Maggie is complaining, rather than telling the reader that's what she's doing.
Just a quick note though: great first answer, but the comma should go inside speech marks: 'I don't know,' Maggie sighed. Also, double speech marks are now considered a little old fashioned, but that's here in the UK, it may be different in the US.
The comma suggests an element of hurry, one thing following another without pause. Given this, something like this could be written in a single sentence, as long it is clear that sighed is more or less independent of she complained (rather that a variation on said):
Maggie muttered, Maggie fidgeted, Maggie sighed, ‘I don’t know,’ she complained, ‘What are you all looking at me for?’
But the sentence in your question is probably better split, unless the situation has previously been made clear. And even in my example I feel there is likely to be a pause before the complaint, which would be better indicated by heavier punctuation such as a semi-colon, a colon, a dash or even a full stop.