I do remember back when the Wedding finale was being announced, one of the very first descriptions for it mentioned Cadence as Celestia's "niece". Much like, I assume, how Blueblood is her "nephew".

Though, the show itself never mentions it, so I'm not sure if it's even a thing. You know what'd help? If we actually knew who the hell Cadence was…

Come on, McCarthy. I know you don't care about silly little details like backstory and character depth, but just having her fall from the sky isn't cutting it anymore.

The answer to some questions you want is in this book.
So go and read it.