Pronounced fingering of the waterfront is observed for in-plane wicking in thin, aligned electrospun fibrous membranes. We hypothesize that a perturbation in capillary pressure triggers the onset of fingering, which grows in a non-local manner based on the waterfront gradient. Vertical and horizontal wicking in thin electrospun membranes of poly(ethylene-co-vinyl alcohol) (EVOH) fibers with varying fiber alignment and degree of orientation is studied with backlight photography. A non-local transport model considering the gradient of the waterfront is developed, where fiber orientation is modeled with a correlated random field. The model shows that a transition from straight to highly fingered waterfront occurs during water uptake as observed in the experiment. The size and shape of the fingers depend on fiber orientation. Based on good model agreement, we show that, during wicking in thin electrospun membranes, fingering is initially triggered by a perturbation in capillary pressure caused by the underlying anisotropic and heterogeneous membrane structure which grows in a non-local manner depending on the waterfront gradient.