This sounds like a problem with the adventure.
A bit of a frame challenge here, but I feel like this is more a problem with the adventure than the party. 5e doesn't have enough material that you can assume that every party can solve every problem (like you could in 3.5), and assuming that a 9th level party can affect the ethereal plane isn't a reasonable assumption in a normal 5e game.
The problem is that seeing into the Ethereal and affecting the Ethereal are very different things. 5e doesn't even have the old standby of force effects working against Ethereal targets like 3.5 did. It's going to be pretty difficult for a 9th level party to be able to do anything meaningful to an Ethereal target.
Given the restriction of not being able to add Ethereal-affecting items to the existing adventure, here's what I would suggest:
Give the enemy a reason to attack the players.
As you note, the tactically correct option would be to go Ethereal and wait out the party, which would make the party lose no matter what. A way to sidestep this issue is to give the enemy a reason to attack the party despite the fact that it could safely wait out the combat. Is the enemy non-intelligent, like an animal? Does the enemy have a vendetta against the party, and wants to kill them beyond reason? Does the enemy have a goal that involves the death of the party? Is the enemy just dumb, and doesn't think of using his abilities to their greatest effect?
If the enemy has a reason to come out of the Ethereal to attack the players, and uses their Etherealness to improve their combat ability rather than avoid the combat entirely, you're going to end up with a fight that's likely to be more fun.
Magic Circle and Protection from Good and Evil
If the Hag always finds the party about the same time of night, they could cast either in preparation for the hag to keep the Hag out. Protection would be better, as the Hag might forget to detect magic and waste the casting on an attempt to touch someone who is already protected.
Protection from Evil and Good is only an action to cast, so it can be cast easily even when the attack has started.
[W]hat does Magic Circle even do if you cast it on an area that already contains an excluded creature?
Traps the creature inside. The spell says:
When you cast this spell, you can elect to cause its magic to operate in the reverse direction, preventing a creature of the specified type from leaving the cylinder and protecting targets outside it.
So could trap the Hag -- but the problem here is that the casting Magic Circle takes 1 minute. Unless the DM allows you to hold completion of a spell similar to a ready action -- But that isn't RAW.
Oil of Etherealness
Applying the oil takes 10 minutes, and it lasts 1 hour. It will allow you to be on the ethereal plane. If you fight and break the touch the Hag, the Haunt attack is used for the day. If you secure the Heartstone, she can't get back to the ethereal plane, and if you kill the Hag, she'll be banished back to Hell.
Turn the Hag
Paladins of the Oath of Devotion's Turn the Unholy works when the Hags enters the material plane to attack.
Paladins of the Oath of Ancient's Turn the Faithless doesn't require Sight, if the Fey or Fiend hears the chanting they have to flee.
Paladins for the Oath of Vengeance can frighten a fey or fiend they see using Abjure Enemy.
Force Damage Won't Work, but Things of Force Do
A traveler on the Ethereal Plane is invisible and utterly silent to someone on the overlapped plane, and solid objects on the overlapped plane don't hamper the movement of a creature in the Border Ethereal The exceptions are certain magical effects (including anything made of magical force) and living beings.
However closer reading is that things made out of magical force hamper movement -- force damage doesn't pass through realms. This is made clear by a tweet from Jeremy Crawford:
https://twitter.com/JeremyECrawford/status/745062527118123009
No general rule causes force damage to pass from one plane of existence to another. #DnD
So while Magic Missle or Eldritch Blast won't help, the following will:
- Leomond's Tiny Hut
- Wall of Force
- Force Cage
Wake the Sleeper Will Not Work
Originally I thought that waking the sleeper would work. I said:
Simple answer are typically missed.
Always keep one party member on watch. If someone always keeps watch
(changing shifts so everyone gets full rest) they can look for party
members having nightmares. Having a nightmare of terrifying images
isn't a quiet thing -- ask any parent. Try putting the people with
highest perception on watch at the times you're most vulnerable, like
the middle of the night.
Once awake, the nightmare ends. If caught before an hour, the negative
effects don't take hold. The ability only works on sleeping people on
the material plane. The hags "Nightmare Haunting" is used up for for
that 24 hours.
However, RAI based on this tweet from Mike Mearls, that isn't the way it works. The victim only has to be asleep to start the nightmare haunt, but waking doesn't end it.
Alarm Won't Tell You She's coming
I thought Alarm might give you some warning, but its effect appears to be limited to the material plane. (Unless you cast it while in the Ethereal?)
Best Answer
It is a matter of interpretation; therefore, you can decide as you see fit.
The first part of the description of the detect evil and good spell says:
The question is therefore, if a point on the Ethereal Plane can be within 30 feet of a point on the Material Plane.
The description of the Ethereal Plane says, in part (DMG, p. 48):
You can therefore start with the distance on the 3 axes between the character location and the corresponding location of the hag on the ethereal plane. Then you need to consider the distance of the two 3D spaces (planes) on a fourth axis. Mathetically this can be calculated through a vector (4D) and its magnitude.
There is no numerical data in the DMG for the distance between the planes.
The definition of Truesight (MM p. 9; given to players by true seeing, PHB p. 284) states:
Since no method of calculating the distance between the planes is given, it seems that it is ignored, i.e. the 3D distance between the material point and the corresponding point of the ethereal point on the material plane are used.
DMG p. 48 further states:
This suggests that magical effects can à priori interact with the Ethereal Plane, although it says "invisible" so it is unclear if this applies only to sight (which detect evil and good is not).
In conclusion, it seems that the question of the distance is irrelevant if you rule that the rules for sight into the Ethereal Plane apply to detect evil and good, even if this is not actually about sight.