The answers by The Photon and Gary Potnovcan explain it well, in my opinion, but I'd like to include and addendum focusing on the fact that you're teaching Japanese students.
English pronouns versus Japanese "pronouns"
Let me start quoting Wikipedia:
In linguistics, generativists and other structuralists suggest that the Japanese language does not have pronouns as such, since, unlike pronouns in most other languages that have them, these words are syntactically and morphologically identical to nouns.
So first of all, the confusion of the students is completely understandable because in Japanese the "pronouns" work exactly as nouns. The word the students were probably thinking of is 彼女 (kanojo), which is often translated as "she", but can simply mean "the woman" (excluding the speaker and the person being spoken to). In other words, 彼女 can literally be translated as "the girl" as well.
That said, I believe that, from a teaching perspective, this is a great opportunity to insist on the differences between English pronouns and Japanese "pronouns". Context is a very strong thing in Japanese, almost everything can be omitted and context will do its work. English on the other hand is not: for example, every English clause must have a subject. When there isn't a useful one, we put an "it" there. This is very odd for japanese English learners.
So, what exactly is a pronoun? I am not a linguist, but I'll try: "a pronoun is a word that refers to some other noun that was mentioned before, or is about to be mentioned, or can be inferred by context". If this is not strictly correct, recall that beginners are being taught here so minor nitpicks can be postponed.
In Japanese, we don't use anything like the above definition of pronoun, context itself works already. But in English, we need a word. English sentences have structures much more "solid". Instead of simply omitting everything that can be inferred, as is done in Japanese, in English those things are replaced by pronouns.
So, if we wanted to ask
Who is the girl that I am pointing to right now?
In Japanese we can let context do its work by asking
which is literally just "who?", while in English we need to follow the structural boilerplate which requires a verb and at least a pronoun:
Who is she?
and here "she" is the word that carries the context inside it.
Hopefully this will help clearing things up with the students that might be thinking that she and the girl are exactly the same thing.