Why does it matter that Desiree's background is unknown, and how does that connect to Zandrine?
Desiree's mysterious background is not only an example of foreshadowing, but it also advances Chopin's theme of prejudice's consequences. Early on, when Chopin describes the speed at which Armand falls in love with her, she gives her readers a hint that Desiree's unknown origin might present a problem later on--Armand, enamored with the fair Desiree, refuses her father's offer to look into Desiree's background before the two marry.
After Desiree is married and has her baby, Chopin lets the reader know that Desiree does not like her husband's owning slaves and is happy when he treats the slaves "well" and dislikes it when he is violent and impatient with them. This is another important link to Desiree's background because readers can surmise how Armand would feel if his wife was not "wholly white."
When Desiree's adopted mother visits the new mother and her baby, she is actually the one who glances from Zandrine (the Indian nurse) to the baby. She sees that the baby's skin color is actually closer to Zandrine's than it is to Desiree's.
Of course, in the end, Armand assumes that Desiree must be the source of the baby's "mixed" blood because she cannot prove who her biological parents are; so he cruelly expels her and the baby from the house. Readers discover in the conclusion that Armand is actually the son of a black woman and white man--so he is the source of the baby's mulatto heritage.
Chopin uses all of these elements from "Desiree's Baby" to demonstrate not only the powerlessness of women from the pre-Civil War time period but also to prove that prejudice usually involves hypocrisy and denial.
After not having seen the baby for four weeks, Madame Valmonde, Desiree's adopted mother, is shocked by the baby's color and how his skin has, apparently, darkened quite a bit during that time. When the narrator describes the way Desiree looks as she reclines on her couch, Zandrine is described as the "yellow nurse woman" who sits beside the window, cooling herself with a fan.
This description of her skin tone seems to indicate that she is of mixed race: part white and part black. It was a common practice for white masters to rape their female slaves, and Zandrine is likely the offspring of such behavior. Madame Valmonde has a hard time even looking away from the baby, but, when she does, it is to look at Zandrine. She seems to be comparing the baby's coloring to the nurse's, and she appears to realize that the baby's race must also be mixed.