Her sister married Benito Mussolini's son.
I was looking at Romano Floriani Mussolini's wikipedia page, Benito's great grandson who now plays football for Lazio, and saw he is also related Sophia Loren (she's his great aunt)! So I took a look and it turns out Sophia's sister Maria married Benito's son.
https://en.wikipedia.org/wiki/Romano_Mussolini