I don't think that was ever brought up, Nelson. Other than the fact that the Collins family detested [spoiler]Jenny and Magda and Sandor because they were gypsies and obviously "below" them,[/spoiler]nothing more was really said about it. [spoiler]Magda and Jenny were sisters,[/spoiler] that was that.
And I agree that it would've been great to see flashbacks of Jenny and Quentin. Maybe when they first met, then flashfoward to them getting married and Quentin bringing her home for the first time, etc etc. It really would've played out well if they had've made Jenny remember these things while [spoiler]sitting in the cell. Instead of cooing to her babies[/spoiler]she could've been reminiscing about Quentin, remembering how she loved him only to snap out of her flashback in a fit of rage.