I said this on plurk already, but might as well make it more official! Nat grew up on the streets and 100% would've looked out for Wanda on the downlow. And when Bucky got sent to the Quarry, Wanda and Nat grew closer. Except then Nat got sent to the Quarry, won, and like Bucky she never came back.

Potentially, Wanda could come to her for help. Maybe they need information that Nat can steal from her husband-to-be's office on the next arena? (Sorry, Tony!) Nat would be reluctant to help, but would do it for Wanda.