Sapphire - Is there anything else?

Nope. Just like Rune (another Thieves Guild Member with an interesting backstory), Sapphire does not currently have any quests associated with her past, despite above average character development thereof.

In the Dragonborn DLC, it is revealed that Sapphire is Delvin Mallory's niece and the daughter of the Raven Rock blacksmith, Glover Mallory.

This is revealed after completing Glover's quest (Paid in Full) on Solstheim by retrieving the improved Bonemold Formula for him. He will give the Dragonborn the key to his basement, which contains leveled loot, the unique Blackguard's Armor, and a letter addressed to Sapphire. The letter details how Glover and Sapphire's mother met and fell in love, and how Glover believes he failed her for not being there to protect them when the bandits destroyed her village.

If you tell her this by bringing her Glover's Letter, she will reward you with an exquisite sapphire.

_{Sources: "Sapphire (person)" article, UESP wiki and "Sapphire (Character)" article, TES wiki}