They called each other by their Christian name, were always arm in arm when they walked, pinned up each other’s train for the dance, and were not to be divided in the set; and if a rainy morning deprived them of other enjoyments, they were still resolute in meeting in defiance of wet and dirt, and shut themselves up, to read novels together. (Ch. 5)

As Adrian suggested I think Isabella and Catherine are reading Udolpho together. I think they began on a rainy day as above. In Ch. 6 Isabella asks Catherine “Have you gone on with Udolpho?” and she says “when you have finished Udolpho, we will read the Italian together; and I have made out a list of ten or twelve more of the same kind for you.” Isabella’s “Oh! I would not tell you what is behind the black veil for the world!” suggests she has read Udolpho before so Catherine may be reading her copy or she might have obtained a copy from a lending library or even purchased one but probably not before she met Isabella. Isabella is guiding Catherine’s reading choices so it is probable she suggested Udolpho and a copy was in hand or obtained in some fashion afterwards.