Sherri and Terri's sister

Sherri and Terri's sister is the sister of the twins Sherri and Terri. She was mentioned by J. Loren Pyror during his meeting with Bart; during this, he stated that Sherri, Terri, and the unnamed sister were conjoined triplets and the third triplet is out seeking revenge after being separated from her sisters. However, this may just be a throwaway joke by the writers of the episode, and may be considered non-canon until the supposed third sister officially appears.

Trivia

 * The sister is a callback to Hugo Simpson, a character featured in the Treehouse of Horror VII mini-story "The Thing and I". Hugo was Bart's conjoined twin in the story. Like the sister, he was separated from Bart after the two were born.
 * In "The Daughter Also Rises", Sherri and Terri move around like in a three card Monte and then there's three of them, possibly meaning the other triplet does exist, or rather that Marge started hallucinating after watching the twins little 'dance'.
 * Sherri and Terri's last name ("Mackleberry") was finally revealed in the new episode Yellow Subterfuge, written on Principal Skinner's list of students. If the third sister actually exists, it is unknown if she shares her sisters' last name (in case of adoption, for example).