As kamino_neko mentions, Roxy was shown as illiterate in the episode "Roxy Rumbles", though at the end she's shown as trying to teach herself to read. There, the other Misfits knew Roxy couldn't read, and made fun of her for it (though Stormer didn't, but strangely, never offered to help, or perhaps she did offscreen and Roxy refused out of pride).

In this comic iteration, she seems not to have told the others.