To find her sister. Head south of the Mezeti. You'll notice the guards that were there before are missing.
Head further south and a cutscene will playout. Your option there will dictate what happens between the two sisters.
Did you talk to Eve in the tavern after the original scene with Mallory played out?
1. Talk to Eve once its all over.
2. She'll ask for help finding her sister.
3. Head south into the meadow area (The Guards should be gone)
4. Watch the scene. The choice you makes will dictate how it plays out.
Hope that helps....