Not much is known about Magneto's late wife. What is known was that she was one of the 20,000 Gypsies sent to Auschwitz by the Nazi regime during World War II. Almost all of them were gassed, but some managed to hide within the Jewish population. Magda must have been one of these. Magneto possibly arranged for her safety.
It's unknown how they met, but they had fallen in love within the difficult confines of the sexually segregated camp. When the Russian Front advanced, the Nazis attempted to eradicate all the traces of Auschwitz. As the remaining women prisoners were being shot, Magneto managed to rescue Magda and they fled East into the Carpathian Mountains. There they recovered and eventually married and had a daughter, Anya.
Magneto was growing restless in the trade of a carpenter in the small mountain village and so moved the family to the Ukrainian city of Vinnitsa to attend college to become an engineer. The first night the family was in town, the inn they were staying at caught fire. Magda tried to reach Anya, but could not. Magneto, returning from a day-labor job, went in after them. His powers appeared as he saved his wife and brought her outside. Anya was still trapped in their room, crying for help from the window. Magneto attempted to reach her, but was detained and attacked by police. Anya burned to death in front of him. In his rage, Magneto lashed out which his powers, killing the police and the entire mob around the Inn. Magda, terrified of what she just saw, fled.
Whether she fled because her husband had become something non-human or whether she fled because she watched him become a mass murder with delusions of conquest is up to some debate. (Writers have slightly tweaked the scene both ways depending on their opinion of Magneto's character, but the initial telling of the story it is clear that it is his power which terrified her).
At the time she left, Magda was pregnant with twins. Whether she knew it at the time or not is unknown, but she never told Magneto of it. She stayed on the run in eastern Europe, evading her husband. Heavily pregnant, she found her way to Wundergore Mountain and to the hut of Bova the Midwife. After a short time staying with Bova, Madga gave birth to a boy and a girl, whom she named Wanda and Pietro. (They would grow up to become the superheroes Quicksilver and the Scarlet Witch.)
Desperately fearing that Magneto would find her and the children, Magda left them behind as she fled into a blizzard almost immediately after giving birth. She has not been seen since and it is assumed, given her weakened condition, that she perished. Magneto set up a grave marker for her on Wundergore, near Bova's house, that he sometimes visits.
Ultimate Universe (Earth-1610)
In the Ultimate universe, the mother of Quicksilver and the Scarlet Witch is Isabelle, who died in childbirth. It is revealed in the mini-series Ultimate Comics Wolverine, that she didn't die and was now living as Magda in fear of Magneto. It was also revealed that she is the birth mother to Wolverine's son Jimmy Hudson.