I have never heard that story before. Where did you read or hear about that?
The story is from Mary's House by Dorothy M. Gaudiose. Unfortunately, it is an out-of-print book, but I was able to get a copy after I gave mine away (after quite a bit of searching).
The story is of a thirty-three year old baroness who jumped out a building. A woman visiting Mary Pyle received word of this via telephone (February 1962), and the next day, Helena, a friend of Mary Pyle, went to confession and asked about this. The woman (Helena) did not have the heart to tell the woman (Nancy) that the woman went straight to hell. But Mary Pyle convinced Helena to tell her. The woman (Nancy) was told, and she changed her life -- getting rid of her materialism and giving money to charity.
This is on pages 15-16 of that book (ISBN 0-8189-0646-4)
Here is a web page that is of interest:
http://www.michaeljournal.org/stpio.htm
It is a re-print of an article in the Michael Journal in the May-June-July, 2002 issue.
Not only, according to this article, did Padre Pio predict that Karol Wojtyla would become Pope, but also said that, to quote the article:
It was said that in 1947, Padre Pio had also foretold to the young Wojtyla the assassination attempt: You will see your white cassock stained with blood.
Finally, the article has the truly remarkable story of the little girl who had no pupils, and had no hope of ever seeing, until cured, through the grace of God, when she went to see Saint Padre Pio at San Giovanni Rotondo: Gemma DiGiorgio.