It's first mentioned in the second half of Exile, when Joey tells someone that Madge has received a letter from Bette saying that she and her children have "reached Canada". It's only mentioned in passing, so it's possible that Madge had got the letter a few months earlier, or that Bette had been in Canada for a few months before she got in touch. There's no mention of her having left Austria before the CS closed down, so presumably she left during the gap in the middle of Exile - so any time between about June 1938 and April 1939.
_________________We really must stop eating like this ...
Minds are like parachutes - they only function when open.