In ch.12, it seems fairly clear that Mary not only knows nothing about Anne and Captain Wentworth, she also has no idea that Elizabeth once had hopes of Mr. Elliot. Even Anne was never told about it in so many words, but guessed what had happened.

"Of course," said Mary, "you will mention our seeing Mr. Elliot the next time you write to Bath. I think my father certainly ought to hear of it; do mention all about him."

Anne avoided a direct reply, but it was just the circumstance which she considered as not merely unnecessary to be communicated, but as what ought to be suppressed. The offence which had been given her father, many years back, she knew: Elizabeth's particular share in it she suspected; and that Mr. Elliot's idea always produced irritation in both was beyond a doubt. Mary never wrote to Bath herself; all the toil of keeping up a slow and unsatisfactory correspondence with Elizabeth fell on Anne.

Of course, this is probably also partly due to the fact that Mary was young and away at school when Elizabeth's "romance" happened, but what a close-mouthed family this is! Imagine being so clueless about important events in your siblings' lives. I'm starting to think that Mary really *doesn't* know about Anne and Charles, despite the smallness of the neighbourhood!