Does Sansa knows that Jon Show..

I would have thought that he would have told her. But it seems like they don't talk that much. I can't believe the number of conversations about important matters that end up taking place in PUBLIC in front of all the banner men (and women) that end up with the two of them arguing. Like Jon's decision to pardon the two traitor houses and Jon's decision to go to Dragonstone to meet Daenerys.

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I don't recall whether he told her. But if I was him, I wouldn't go around broadcasting it, even to close relatives (and he and Sansa aren't all that close; they still haven't established much of a bond of trust yet), for fear of being considered insane.

Sansa was at Castle Black for some time, she must have heard the whole story from Davos and the other the men who saw Jon murdered and then start walking around again. She also has to be aware that something truly extraordinary happened for everyone to agree that Jon was no longer bound by his vows to the NW, and was free to leave. Because she knows damn well that normally deserting the NW gets a person the death penalty.

Frankly, I doubt she cared very much, except about Jon being free to leave the Wall and help her fight Ramsay. She doesn't seem to regard the happenings at the Wall as a big priority, her mind was on the threat from Bolton and also Cersei. I hope she's accepted the danger, and if she's giving sensible orders to the armorers then maybe she has.

I don't think she knows. Surely they would have had a scene with Jon and her talking about it, no?

I'm pretty sure she knows. I thought either when they first speak after their reunion or before the Battle of the Bastards that he told her, or at least it was implied. If not, I'm sure someone at Winterfell told her.