The wildling woman who is Mance Rayder’s wife Dalla’s sister and does not appear in Game of Thrones is Val.
Val is a Free Folk woman introduced in the later novels, particularly A Dance with Dragons. After Mance’s defeat, she is held at the Wall, where Jon Snow recognizes her importance among the wildlings. She is described as attractive, capable and politically useful rather than merely a captive.
Jon eventually sends Val beyond the Wall to contact Tormund Giantsbane and other wildling leaders. Her mission helps persuade them to come south and settle near the Wall, where the wildlings can help defend against the supernatural threat from the north.
The other options belong to the television story: Gilly is Craster’s daughter-wife and Samwell’s companion, Osha is a captured wildling who travels with Bran Stark, and Ygritte is Jon Snow’s former lover. Val is therefore one of the notable book characters omitted from the adaptation.