Skipper marries his bobble-head girlfriend at the end of Madagascar 2. By the time the series starts she is nowhere to be seen, and never mentioned. She is not seen at all in Madagascar 3: Europe's Most Wanted either. By Penguins Of Madagascar: The Movie, Skipper is flirting with a French bobble-head girl. In the series, there's no reference to her existence, ever.
What happened to her is at the moment a mystery. Some people think she may have been left at the hotel in Monte Carlo after the Zoosters' sudden arrival.