When Lily and James were killed by He-Who-Must-Not-Be-Named,
there was one other survivor... his sister. He had a twin sister hidden from the world. Lily and James wanted to make sure that if he, Harry and Lily were to all die, there would be a little chance that Voldemort would be defeated.
After Harry was brought to his new home, they had to find a home for his sister, Sapphire. She was placed in a home for a family in Russia. All her life,
unlike Harry, she knew who she was, what had happened, and why she had to keep it quiet Especially living in a pure-blooded home.