P03A: A Blade in the Dark
Delphine tells you that you cannot talk in the Inn room, so follow her into her room and close the door, at which point she opens what appears to be a clothes wardrobe to reveal a secret set of stairs leading to the cellar. Down there she tells you what her thing is...
After you exhaust the conversation options -- and you really should hear them all -- because what she tells you is fantastical and hard to believe... She tells you the plan -- you need to kill a Dragon for her -- and you learn who she really is! She is the Jarl's Wizard's buddy we got the Dragonstone for!
Secrets are Revealed!
The Master Dragon
After you agree to help tell her you are not ready to go just now -- she will tell you to meet her at Kynesgrove -- let her make her own way while you return the horn to the Greybeards and wrap that little bit of work up, right?
Now travel to Kynesgrove and head to the mound -- it is to the east. What you encounter is a Dragon raising a Dragon! The raised Dragon -- Sohloknir -- must be killed now, so do that, and then after the battle you talk to Delphine and learn that she is a member of the Blades -- remember the Blades? Yeah!
Once you exhaust the chat options you will now know a lot more than you did before you killed that Dragon, eh? She sets up the plan for the next Quest -- and flags it for you!