Hmm. What year was your grandfather naturalized and what year were they married. All women who were married to naturalized US Citizens became US citizens ipso facto until the law was changed in 1922. By the way, out of curiosity, how do you know that your grandmother was not a citizen? If your grandparents were married in 1920 and in the US then maybe the 1920 US census would tell you if you haven't already seen it.
I don't know the year they were married, but I do know that it was well before 1922.
My grandfather was naturalized after my mother was born.
I know my grandmother wasn't a citizen. There was a period of time when she would have to register yearly as a legal resident.