Delphine is a Breton and a member of the Blades.
After delving deep into the Nordic ruins, Cock finds a note from "A friend" telling him to rent the attic room at the Sleeping Giant Inn instead of the horn. Cock unaware who this friend could be, goes to the Sleeping Giant Inn. His voice in his head suggests it could be one of his old homeless friends, Ronald p. Drugaddict. Cock does not think this is the case. Cock arrives at the inn and asks a lady named, Delphine, if he could rent the attic room. Delphine tells Cock that the inn doesn't have an attic room. Cock has an over the top reaction and yells in the inn (so that people get the message) that he was told to rent the attic room.
Delphine claims that she is part of a group looking for the Dragonborn and hunts Dragons. Cock pretends that Delphine said Moose and is shocked that the Mooses are coming back. Does that make him a Moose-Born or rather a Mooseromancer?
Cock Nibbler goes on a hunt for dragon with Delphine. After defeating a dragon with quite ease Delphine asks Cock to part ways for a while while she prepares for her next move.
After Cock fetches Esbern, Cock introduces Esbern to Delphine but he realizes that they already knew each other somehow. At first Cock thinks that maybe Delphine was homeless once too. However, Cock later realizes that Esbern and Delphine met at a job. In fact, he got a job at the blades protecting the empire.
In Fellowship of the C**k Ring, it is suggested that Delphine and Esbern may have a thing.