From 'A Nightmare on Elm Street, Part 5: The Dream Child':
"They say she hung herself...but they never found the body."
What exactly did they find, then? A note, a rope, and an overturned stool? This isn't like throwing yourself into the river, people. You hang yourself, and you're pretty much guaranteeing that people will find the body.
Of course, what happened was that someone wanted to bring in the idea that Freddy murdered his mother, but was hampered by previous films' continuity. So they came up with this line to retcon it...but the noble attempt failed, leaving the horror community a richer, and sillier place.