You're banked in a turn, the plane is constantly in a "new" slip because it's always under acceleration if it's in a turn. Weathercocking effect is always in present and that's why you are coordinated and turning. The forces that caused the initial slip didn't go away, they just have a new vector.
If the turn is
coordinated then, in the absence of other factors like asymmetric thrust, the slip angle will be zero. In that case, the yawing moment from the effect of the slip on the fuselage and fin has been almost entirely replaced by a moment from the rudder. In practice, there are a lot of factors contributing to the yaw budget, so coordinated isn't precisely no-slip, but it's a good approximation.