My apologies for the delay in reply, I had quite a busy weekend.

Jon's father Lord Randyll Locke married a woman named Tyanna of Volantis, a Volantene woman of minor nobility who had a falling out with her own family, similar to the situation of how Robb Stark married Talisa in the show.

They didn't marry for love, however: He married mainly for her beauty and she married him for the gold and status he had as a minor Lord in the Seven Kingdoms, and though Lord Randyll took the Red Faith as his own he himself didn't follow it seriously at first, until after Jon was born.

They met in White Harbor, which was the first place she went to see the world when she left her family: As a port city already known for a mixture of religions given the Old Gods, the Faith of the Seven, and numerous gods from ports across the world which are worshiped there, her worship of the Red God wasn't found to be as out of the ordinary as it might be in other cities.

I tried to stick to the basics in my description, but I can post more of a full bio here if you like?