Cables in walls run vertically & horizontally in line from sockets & switches. When you drilled 9" away from the socket, was it directly above, below or on either side.
Should have a fan isolator somewhere nere to it outside the bathroom, check connections in the switch(TURN POWER OFF FIRST) have a look in the pull cord switch for loose connections. Check connections in the light fitting. Really need some test equipment to test circuit
A photo would help, can't tell if the one of the blacks is a switch wire................. if there is red sleaving on one of the blacks, then this is what you do...... Put both reds in a connector block, the black and the blue to the neutral to the light & the black wire with red sleaving & ...
If you are installing a standard 230V room stat they require a live, switched live and neutral, thats why you need a 3-core and cpc rather than just a 2-core. However, if you are installing a digital room stat they only require a 2-core and cpc. Terminals on the stat are usually numbered 1,2,3 and 4...