Oscar's sisters were only seen in episode one when she was born. Their father, General de Jarjayes, desperately wanted a son after having five daughters, and when Oscar was born he was devastated when he learnt she was a girl. Then he shocked his daughters and nanny when he proclaimed that he will raise his youngest daughter as a boy to carry on his legacy and named her Oscar, an act that shocked and horrified everyone as raising their youngest sister, who was crying in fear from her father's insane excitement, as a boy would have consequences. While Oscar would have the privilege to have the freedoms women were denied having, their sister's life would be in danger protecting the Royal family as their father would put her in a dangerous position that would become much crueler than a noble woman's confined life and he ended up giving his daughter a death sentence as raising her as a soldier will get her killed by the time the Revolution begins.
It is unknown what happened to Oscar's sisters as she grew up and during or after the Revolution or if they were executed, but it is assumed they loved their sister and probably have bitter feelings towards their father for his cruel treatment towards Oscar, despite her doing everything their father wished. Oscar's older sister is said to be married, the other sisters are assumed to be married to other nobles and have children themselves, meaning the boy related to Oscar in the sequel to Rose of Versailles, Eikou no Napoleon, could possibly be the son of one of her sisters, making him Oscar's nephew.
In the manga, it's mentioned that one of Oscar's sisters name is Josephine.