Nuns are "sisters of God", who reside in Las Hermanas. They rarely make appearances throughout the Red Dead Redemption world out side of the convent.
If Marston kills the nun sent to gift him the Obscuridad del Santo Andres before receiving the gift, he may have ruined his chance to ever receive it.
If the player receives the gift while playing as John, and then finish the game and become Jack, they will no longer have the gift and must receive it again, possibly meaning that John died while wearing it, or at least in his possession. (However, there are also cases of people who do keep the gift after finishing the game)
It is worth noting that murdering a Nun will reduce the players' honor by 100, as opposed to the -50 honor penalty given for murdering general civilians.
In the Beta versions of Undead Nightmare, undead Nuns could be found all over Mexico, America and possibly in West Elizabeth. However, after the final release version of Undead Nightmare undead nuns now can only be found in Las Hermanas during an attack. Proof of thus can be found in the Undead Nightmare trailer.
If there is a gun on the ground nearby and the player points a gun at a nun when she approaches for whatever reason, there is a chance that she will run to pick up the gun and start shooting at the player. If there are any Lawmen nearby, they will open fire on her and the nun will return fire. If the nun survives, she will continue shooting the player.
If the player chooses to hogtie a nun after a random encounter in Armadillo, there may be a glitch that causes the Red Line train to stop completely. Similar as if the player assaults a person inside a train.
The stories about you were true, you are a living saint.
At last! I knew the Holy Virgin would bring me to you!
Everyone in Las Hermanas has been talking about you, I had to find you!