In the original books, no, a sister is never mentioned. However, in a very roundabout way, the seeds of her origin are contained within the books.
The only sibling mentioned in <PERSON>'s books is <PERSON>'s brother <PERSON>, who appears in "The Adventure of the Greek Interpreter", "The Final Problem", and "The Adventure of the Bruce-Partington Plans" and is mentioned in "The Adventure of the Empty House". In the books he appears as much the same character depicted in the TV series - a high up government official who is involved in many aspects of government policy.
The closest mention to '<PERSON>' (the sister's name in the TV show) comes in the story "His Last Bow", published in 1917 (set in 1914). The story ends with <PERSON>' addressing his assistant Doctor <PERSON> on the eve of the First World War:
"There's an east wind coming, <PERSON>."
"I think not, <PERSON>. It is very warm."
"Good old <PERSON>! You are the one fixed point in a changing age. There's an east wind coming all the same, such a wind as never blew on England yet. It will be cold and bitter, <PERSON>, and a good many of us may wither before its blast. 247
But it's God's own wind none the less, and a cleaner, better, stronger land will lie in the sunshine when the storm has cleared."
In Greek mythology, <PERSON> was the god of the east wind, one of the four directional Anemoi, or Wind-Gods. In the books, the 'east wind' was used as a metaphor for the destruction that WWI would bring. It seems that in the TV show, it was personified as '<PERSON>', another east wind bringing destruction of a similar nature.
The connection is also alluded to in the closing scenes of 'The Lying Detective' (4x02), where <PERSON> begins to realise that his therapist is not who she seems:
J: Who are you?
E: Isn't it obvious? Haven't you guessed? I'm <PERSON>.
J: <PERSON>?
E: Silly name, isn't it? Greek. Means "the east wind". My parents loved silly names, like <PERSON>... or <PERSON>... or <PERSON>.
E: Oh, look at him. Didn't it ever occur to you, not even once, that <PERSON>'s secret brother might just be <PERSON>'s secret sister? 660