They are the we of me.
Frankie says this to herself as a revelation at the end of Part One when she has gone outside of the house after supper. The "they" in this case is Jarvis and Janice. Frankie has been thinking about the phenomenon that the betrothed couple is together in Winter Hill, while she is separate from them, alone at home. But she finds comfort in the notion, which, as it turns out, is utterly delusional, since she thinks she still belongs to them in some way. With this in mind, the physical separation is trifling, just representational; she is together with them in spirit. Frankie finds meaning in her life in the belief that she belongs to some kind of a club, that she is a member at last.
This is certainly the most fundamental quote in the novella. For is exemplifies the very nature of Frankie's main struggle: which is to find unity with other people. The very second sentence of the book states that "This was the summer when for a long time she had not been a member." So when Frankie realizes that she is a member at last, a member of the wedding, it serves as an important catharsis and a marker for her future character development. However, it also sets her up for a second catharsis: one in which she realizes after the wedding that she was totally kidding herself to believe that she belonged to her brother and his new wife in more than just a distant way. This key moment, put in contrast to the unbridled hope of her first beliefs about the "we of me," allows Frankie to finally mature and become more adult-like. Because, with her childhood fantasies of running away from her surroundings gone, she can become more realistic and grounded. Two key elements to becoming an adult.