Way back in the 2.x patches she got us to deliver her a materia-enhanced dagger and out of all the Scions she always seemed closest to Thancred, highlighted best in the SHB trailer. That he probably also taught her some tricks and probably started to do so again in the time it took/takes for our character to find them makes it believable that she'd be a Rogue. As well outside the movement ability Thancred has never really done much with Ninjutsu abilities so her not learning those and thus being a Ninja makes sense.