but if she asks me to call her 'they' then I don't know how I should respond

Depends on your relationship with the person... In my country and from where my partner is from, we are VERY blunt with friends/family(unless they're elders, we would get smacked for doing that haha). So, just depends. If my brothers/partner ever were to turn trans, I would question them and show them receipts of how it's a misogynistic idealogy and explain my point of view as a detrans woman. Though, I don't have to worry about that since they're already against trans ideology. They are the people I am closest to though.

An easier way without offending her is just asking her questions. "Oh you're nonbinary, how did you discover that?". If she gives you answers stating "because I don't like traditionally feminine/masculine things", I would challenge that and say "If I don't like makeup, does that make me automatically a man? If a man doesn't like sports does that automatically make him a woman?" But...A bit more tactful than how I worded it haha. Perhaps ask her "What makes a man a man and a woman a woman?" To get a better idea of what she thinks. Ask her questions, show her studies if necessary. I had friends in past that I didn't agree with everything on, but they were mature enough not to take it as a personal attack, and that's how it should be.

I also have a cousin that's MtF now for maybe 2 years, we're not really close anymore so I don't have to worry about tippy-toe for his feelings on that plus he lives far away.

The whole pronoun thing seems kinda...silly. People say "refer to me as she/he/they etc" but that's 3rd person, so 9 times out of 10, they won't really hear you call them by their sex pronoun, unless you're in a group setting or something. My brothers and I still refer to our trans male cousin as a he, it's not like he hears us from kilometers away saying that and will have the PC police after us.