This is a waste of a good 9V battery. It is like heating your home by burning violins in your fireplace. Sure you could do it, but why?
A 9 volt battery, when discharged slowly will put out a total of 5.5 watt hours of energy/heat.
When discharged quickly it will only put out 1 to 2 watt hours.
At the max 5.5 watt hours that is only 18 BTUs. If you pee into an 8 ounce cup and let that cool down to room temperature you will release about 35 BTUs. Double your 9 volt battery output.
A match releases about 1 BTU of heat. A matchbook has much more heat.
If you need to warm your hands, pee into a cup and hold it, or use a match book to set something on fire. Don’t waste a perfectly good 9 V battery. It is far better to use it in electronic devices.