Nymeria Sand is the bastard daughter of Prince Oberyn Martell and a noble lady of Volantis.
Books
A Feast for Crows
Nymeria claims that she was abed with the Fowler twins when she heard of her father's death. She rode out to meet Prince Doran Martell as he makes his journey from the Water Gardens to Sunspear, and suggests that, as vengeance for her father, aunt and cousins, she be allowed to assassinate Lord Tywin Lannister, Queen Cersei Lannister, Lord Commander Jaime Lannister and King Tommen I Baratheon. Doran rejects the notion, and later has Nymeria arrested with the rest of the Sand Snakes.