British nationality law is insanely complicated. But, my take:
In 1914, there was no concept of citizenship of particular countries within the king’s dominions; everybody born in any British territory was just a British Subject. If (as in your grandmother’s case) your claim to British subject status arose from birth not in the UK but in Canada then your passport would be issued by the Canadian authorities, not the UK authorities — if you applied to the UK they would direct you to apply to the Canadian officials. But the passport would still identify you as a British subject.
From, I think, 1921, your grandmother would also have been regarded in Canadian law as a “Canadian national". This wasn’t a completely separate status; it was a subset of British subject status. A Canadian national was a British subject who had prescribed links with Canada (and birth in Canada was one such link).
Because Canada was a self-governing dominion, it has the power to legislate the terms of British subject status for those British subjects who were connected with Canada. And this gives rise, in your grandmother’s case, to a degree of uncertainty. The classic position was that a woman who was a British subject and who married a non-British subject would, except in very limited circumstances, lose her British subject status. If that rule had applied to your grandmother, she would have ceased to be a British subject on her marriage in 1936. In that case her later-born children would have no claim to British subject status by virtue of being born to a former British subject.
However Canada changed its rules in 1932. A female Canadian British subject who married a foreign man after that date could retain her British subject status if she did not acquire foreign nationality by virtue the marriage. To know how this affected your grandmother, we’d need to know what nationality (or, possibly, nationalities) your grandfather had and then we’d need to explore the laws of the country (or countries) concerned to see whether they automatically conferred nationality on the foreign wife of a male citizen. And there’s a second question — if your grandmother could retain her British subject status, did that happen automatically or did she have to register or declare her desire to retain her status in some formal way? And, if something of the kind was necessary, did she do it?
But, for present purposes, the answer to these questions doesn’t matter. Even if your grandmother had remained a British subject, her children born in the US would not have been British subjects; British subject status by descent could only be claimed through the male line.
To carry the story forward, in the years after the Second World War the unified “British Subject” was split into a series of independent citizenships, one for each independent country within the British empire/commonwealth and one for “the UK and Colonies”. Canadian citizenship was established in 1947 and, if your grandmother was still a British subject at that date, then she became a Canadian citizen. Citizenship of the UK and Colonies, with the slightly unfortunate acronym “CUKC”, was established in 1948; your grandmother would not have acquired that status by virtue of birth in Canada. The term “British subject” remained in use as an umbrella term for people who held the citizenship of any Commonwealth country, but it wasn’t a particularly meaningful or useful status. It ceased to be used in that sense in 1983. Also from the 1983 the term “Citizen of the United Kingdom and Colonies was dropped in favour of “British Citizen”.
In (I think) 1977 Canada amended its citizenship laws so that citizenship by descent could be acquired either through the male or female line. You say that your father and aunt did, in 2015, become Canadian citizens so that suggests (a) that this change was, or later became, retrospective, and (b) that the authorities did accept that your grandmother was a Canadian citizen, which implies they were satisfied that she didn’t lose her status on marriage in 1936.