In my search, I found examples of kings/queens having their wives and brothers executed, but I cannot seem to locate any example for sisters, mothers, and fathers.
This example is "European" although not "Middle Ages." Nero executed (or murdered) his mother. He was widely regarded as "mad," and was considered in history as a negative example.
One probable reason this didn't happen more often was that kings needed mothers to be legitimate, while women were (mostly) barred from inheriting the throne.
Peter the Great of Russia, a man regarded by many as despotic (but clearly sane) exiled his sister to a convent but did not execute her. In fact, "convents" were a convenient alternative to "execution" where women were concerned, which is probably one reason why women were seldom executed.