Can I swaddle my baby and put her in a sleeping bag with her arms swaddled?

Red Nose recommends a light cotton or muslin fabric for baby’s wrap.
Red Nose has the following information in relation to using swaddle suits, like the one you are using.

Parents are advised to follow the principles of safe wrapping if they choose to use infant wrapping as an infant care strategy. Parents are also advised to follow any safety advice that accompanies any infant wrapping or swaddle products they purchase, but to be aware that there is very little evidence available that supports the choice of one product over another.

In particular it is extremely important to ensure that the product fits the baby and is appropriate for their developmental stage. For example:

The material of the wrap or swaddle should not cover the face or head, particular if baby sleeps with arms in different positions. If the item is too big for the baby, some zipped swaddle suits that enclose baby’s hands, have been shown to allow material to cover baby’s face and nose when baby raises their hands above their head during sleep. All sleeping attire designed to cover the baby’s shoulders should have separate neck and arm holes or should ensure that they do not allow the face covering if the baby was to move their arms in different positions.

Any product that is used as clothing on the baby or in the baby’s sleep environment should not restrict the movement of a baby who is able to roll. Wrapping should be discontinued as soon as the baby shows the first signs of being able to roll. Positioning aids that restrict movement of the baby are not recommended and have been associated with infant deaths.
https://rednose.org.au/article/wrapping-babies

Swaddle suits are generally warmer than a muslin wrap, so it is important to consider that when deciding on baby’s bedding amount.
It is safer to use either a swaddle suit (or swaddle/wrap) or a sleeping bag (arms out) not both.

As your baby is a “wriggler” & lifting her legs consider the following.
As you have said there may now be a risk of her kicking the blanket loose.
It may be time to cease wrapping (or wrap/swaddle her with arms out)

Have a look at Red Nose information on dressing baby for sleep.
Dress baby and use layers as you would dress or use layers yourself: to be comfortable, neither too hot nor too cold.

We don’t believe that it’s necessary to use a room temperature monitor, or to leave the heating or cooling on all night, as long as baby is dressed appropriately for the temperature of the room – not too hot, not too cold.

To check, feel baby’s tummy, which should feel warm. Don’t worry if baby’s hands and feet feel cool – this is normal.
https://rednose.org.au/article/how-to-dress-baby-for-sleep