In Skyrim, I married Iona, and said I want us to live at her house. Where is her house?
Solution 1:
Iona is a housecarl, and has no propriety of her own. "Her" house is your house in Riften, so you should find her there.
(and congrats on the wedding, best wishes, all that :) )
Solution 2:
She doesn't actually have her own house since she is a housecarl. Once you marry her you should find her at your house in Riften. For others that are unsure where that is here's a map. It's marked as number 7 (top left corner)
If you still can't find her there you could look for her at the keep (33), thats the only other place I imagine she will be.