If your grandfather's sister did have a UK passport, then the National Archives at Kew have a register of passports issued:
http://discovery.nationalarchives.gov.uk/details/r/C7911Unfortunately, the registers for the years you are researching are not online and the only way you can search for a name is by going there.
Just to add a little to Elwyn’s point above about getting to France without a passport:
During the Spanish Civil War (1936-1939), many British volunteers without passports bought weekend return tickets from London Victoria to Paris (for which no passport was needed) and then met up with a Communist Party representative in Paris who would arrange the next part of their journey to Spain.
It appears that the real problem was getting back into the UK without a passport.