There is a Blues Standard "Nine Below Zero" and I wonder what the phrase means. The chorus is
Nine Below Zero, she put me down for another
And it would also be super interesting where this phrase comes from!
As multiple comments mentioned, this is making a play on words with the word "cold". In English if you use the phrase "X below zero", it is understood that you are talking about the temperature. (To speak of temperatures warmer than 0, you instead phrase it as "X degrees". So >0 you say "degrees", <0 you say "below zero").
In the USA (home of the blues), the Farenheit scale is used. The freezing point of water is at 32 degrees. So any time you actually go into negative numbers on the F scale, it is really really cold. (If you are more familar with Celcius, -9F would be about -23C) Note that the song's author, Sonny Boy Williamson, was from Mississippi, where it rarely drops below freezing (32F), so this would be a temperature colder than anything he likely personally ever experienced. In short, the number is meant to sound extreme.
One of the other meanings of "cold" is someone who is uncaring. So basically this song is saying that she isn't simply being uncaring, but really really uncaring.