Speaking as a religious Jewish woman, myself, Hanukkah is not the same as Christmas and gift giving is not necessarily a part of every Jewish person's tradition. (It isn't in our family.) If your boss is, as you say, a "very religious Jewish woman" then perhaps performing an act of charity (tzedakah) in her honor would be the best gift for her with a message tucked into a nice Hanukkah card (available at most Hallmark stores.) There are a variety of Jewish charities that cater to underprivileged children, the disabled, the poor or elderly, or victims of terror in Israel, and I am certain you could easily locate them with an online search.
On the other hand, if you truly wish to give her something tangible, I suggest a gift of kosher chocolate coins, preferably "Parve" (has neither milk nor dairy products in it) since if she is a member of some sects, the Orthodox Union mark (an O with a U inside of it) on dairy chocolate may not meet her standards of kosher observance. Or, consider some Dead Sea beauty products from Israel to connect her to the land where the "great miracle" we celebrate actually happened. Because oil is such a large part of Hanukkah observance, perhaps find her some very nice extra virgin olive oil with the OU mark on the label or O with a K inside of it. Try using a blue gift bag with silver tissue, or vice versa, the traditional Hanukkah colors. Friday night/Saturday until sundown would be the least appropriate times to give any gift since they are a part of the Sabbath. Any other of the days of Hanukkah would be fine.
I am certain whatever you choose to do for your boss, your kindness and thoughtfulness will be greatly appreciated.