In order for a spin to develop, you need two things from the airplane:
- it must be stalled
- it must be yawing.
Since the airplane is not yawing while in a slip (it is actually flying straight ahead, although uncoordinated), the airplane simply won't spin. Instead, when the stall occurs the higher wing (which has the higher angle of attack) will stall first, the wing will drop, and the wings will tend level.
That being said, it is still a stall and can be dangerous at low altitudes. It can also turn into a spin if you leave the rudder applied as the wings level and you come out of the slip (and into a skid).
The best protection for all of this is to watch your airspeed and angle of attack to make sure that you always have sufficient airspeed so that you never stall in the first place.
Since this has generated some debate, here is additional information:
According to Wikipedia (emphasis added by me):
Spins can be entered intentionally or unintentionally, from any flight
attitude and from practically any airspeed—all that is required is
sufficient yaw rate while an aircraft is stalled.
So this brings us to Yaw - Wikipedia:
The yaw axis is defined to be perpendicular to the body of the wings
with its origin at the center of gravity and directed towards the
bottom of the aircraft. A yaw motion is a movement of the nose of the
aircraft from side to side.
Skid - Wikipedia actually covers this exact scenario:
The skid is more dangerous than the slip if the airplane is close to a
stall. In the slip, the raised wing — the left one if the airplane is
turning to the right — will stall before the lowered one, and the
airplane will reduce the bank angle, which prevents the stall. In the
skid, the lowered wing will stall before the raised one, and the
airplane will tighten the turn, and the stall can develop to a spin.
Slip - Wikipedia says:
A slip is an aerodynamic state where an aircraft is moving somewhat
sideways as well as forward relative to the oncoming airflow or
relative wind. In other words, for a conventional aircraft, the nose
will be pointing in the opposite direction to the bank of the wing(s).
The aircraft is not in coordinated flight and therefore is flying
Note that the aircraft is moving sideways. The nose of the aircraft is not moving, and it is therefore not yawing. It also says:
Often, if an airplane in a slip is made to stall, it displays very
little of the yawing tendency that causes a skidding stall to develop
into a spin. A stalling airplane in a slip may do little more than
tend to roll into a wings level attitude. In fact, in some airplanes
stall characteristics may even be improved.