With 9cM of DNA, that is typically going to be between 4th and 6th cousins. So the common link is typically going to be anywhere between your 3 x great grandparents and your 5 x great grandparents. But it could also be closer or more distant.
Frustratingly though, they haven't built a family tree and we don't have any "common" matches.
By that do you mean "common ancestors" or "Shared DNA matches"?
It's not unusual to only have a small number of matches where Ancestry shows a "common ancestor" but even there you have to be careful as this relies on other people's trees and they are not always accurate.
Shared DNA matches really do help a lot as both of you are related to that third person so it's easier to work out how you are related to each other. But if you don't have any shared DNA matches then it does get harder.
In that event, the only thing to do is to trace her family tree yourself. Not everybody who does a DNA test can always work out how to use sites like Ancestry to do their own family tree and she may welcome some help.
I remember a similar situation to your's but we are slightly more closely related, 3rd cousins once removed.
Her mum had been adopted shortly after birth and she was keen to find out who her biological maternal grandparents were. We were related through her mum.
She wasn't too sure about searching on Ancestry so I offered to help. I managed to find out who her maternal grandparents were but neither of them were related to me in any way.
I then found out that the father named on the birth certificate had actually died years before the birth so clearly wasn't the real father. The real father must have been related to me in some way.
So, after doing lots of digging it looks like her real maternal grandfather is a man who is my great grandfather's cousin and the common ancestors are my 3 x great grandparents.