Did Catherine the Great have a sister?

Yes, she had two sisters and two brothers.
Brother: Wilhelm Christian Friedrich von Anhalt-Zerbst (b. 1730, d. 1742)
Brother: Friedrich August von Anhalt-Zerbst (b. 1734, d. 1793)
Sister: Auguste von Anhalt-Zerbst (b. 1736, d. 1736)
Sister: Elisabeth von Anhalt-Zerbst (b. 1742, d. 1745)