we know they have an uncle at Longstaple with whom they have often stayed, and they're "relations" of Mrs. Jennings. But we don't hear about their parents or their home, or even their home town. They were staying with friends in Exeter, and now they've moved in with the Middletons for an apparently open-ended visit. They keep saying they need to return to "their numerous and long arranged engagements in Exeter," but in fact they end up staying through Christmas*, again with no reference to family.
Do you think they're orphans? Are they even a very genteel sort of homeless people, who survive by going from house to house as long-term guests of friends and relatives?
*PS I love it that Jane is even ironic about CHRISTMAS... "that festival which requires a more than ordinary share of private balls and large dinners to proclaim its importance."