Occording to both character pages on BOTH Skyrim wikis:
http://elderscrolls.wikia.com/wiki/Azzada_Lylvieve
http://elderscrolls.wikia.com/wiki/Omluag

If one kills one then the other sends you a letter? It says they had bad blood, which makes sense if Azzada used to live in Markarth. Also on another page it says Omluag sends you a letter if you kill Thonar Silver-Blood?

I have done everything and have never gotten a letter from either character? Is there a way to trigger this? (Have completed Omluags favour, done all dialogue with Azzada, married Omluag etc)

Heh, somehow your sig comes to mind...

Nvm, sorry, bad joke!