Sofia Coppola acts in all three Godfather films (though as a baby boy in I and as a uncredited child in II). All three films were directed by Francis Ford Coppola, her father.
Prizzi’s Honor: John Huston directed his daughter Anjelica.
They were both nominated for Oscars for the film (John as Best Director, Anjelica as Best Supporting Actress). She won, he didn’t.
[He had, however, previously won Best Director for Treasure of the Sierra Madre, in which he directed his father, Walter, to a Best Supporting Actor Oscar!]
That’s almost a trivia question that I got right, “Name the only family with three generations of Oscar winners”. John, Walter, and Angelica Huston are all Acadamy Award winners.
You must have been asked that trivia question before 2004, Bill Door, because that’s the year that Sofia Coppola won for Best Original Screenplay (Lost in Translation), joining her grandfather Carmine Coppola (Best Original Score, Godfather II) and her father Francis Ford Coppola (5 Oscar wins in all).
Had to look it up (I thought she had a quick appearance somewhere as an infant in one of his movies), Liza and Vincente Minelli “A Matter of Time” (which also has both Ingrid Bergman and Isabella Rossellini, too)
That reminds me: Billy and Katie Jackson, the son and daughter of Peter Jackson and Fran Walsh have small cameo roles in all three LotR movies (hobbit children, Rohan children and Gondor children, I think). They are also in King Kong as New York children. Not sure if cameo roles count, though, there are a lot of them.