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. She seems to have completely disappeared.
What happens/happened to her is at the moment a mystery. Some people think she may be dead.
There is a chance that Skipper's Bride goes by the name of "Lola"; Based on the Barry Manilow song "Copacabana", her appearance matches some of the lyrics ("With yellow feathers in her hair and a dress cut down to there") and is in fact played during a sequence in the movie.