The Marian Catholic High School teacher was nominated for "Best Viral Moment" for her first pitch at a White Sox game last year.
Sister Mary Jo said the experience has been "awesome" and "surreal" and that it doesn't matter that she didn't win.
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"All the stuff that has happened this year with this pitch has been phenomenal," Sister Mary Jo said. "We're like, it's unbelievable. But all things are possible with God. I mean, this could just be the beginning. Who knows God wants to use all of this for good? I have learned so much from this ride that I have so much yet to learn."
Sister Mary Jo made the most of her time in Los Angeles. She posed on the red carpet solo and with stars like Lonzo Ball, tennis great Billie Jean King and boxing legend Sugar Ray Leonard.
"That was phenomenal," she said. "I took some pictures with the media and he was there. I was a kid when he was still boxing and that was awesome too. We just enjoyed it. We took our time through it all and it was fantastic."
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Sister Mary Jo said she wants to meet Rob Mendez, who was awarded the Jimmy V Perseverance Award. Mendez is a football coach who was born with no arms and no legs.
"I want to meet him because he's totally motivating. He's been through so much and has overcome such adversity and yet he lives with so much joy and enthusiasm for what he has yet to accomplish," Sister Mary Jo said.
This year's ESPY Award for "Best Viral Sports Moment" went to UCLA gymnast Katelyn Ohashi's perfect-10 floor routine.