Hi there, were they born in England, or elsewhere? It may be that there are birth registrations for them under another surname.
It is not uncommon for this to happen, because from a societal perspective, being illegitimate carried a stigma which they could avoid by saying her father was actually her mother's husband, even if this wasn't physically possible.
Also, your grandmother, being the youngest born, may not have known this wasn't true, as her mother/siblings would have been the source of all her information on her parentage.