OK, I am certain now that it is a convergent series that converges on 100%. @Zaku is correct.
The logic I used last night was pretty good, just ignore the paragraph where I separated out 3 and 2 digit numbers and averaged them. That was a mistake.
1. Start with 0–9. 10% have a 9. 0–8 (9 numbers) do not, 9 (1 number) does. 1/(1+9) = 10%
2. Then 0–99. 00–89, ignore the first digit which will never be a 9. You then have just the second digit, which is 0–9 repeated, which we already know from step 1 contains a 9 10% of the time. So in the numbers 00–89, which are 90% of the numbers 0–99, our percentage is still 10%. But for the last 10%, 90–99, it’s 100%. .9 * 10 + .1 * 100 = 19%.
3. Then 0–999. Same logic: look at 000–899. The first digit will never be a 9. So we just have 00–99 to consider, which we know from step 2 has a 9 at the rate of 19%. Again this chunk represents 90% of all the numbers we’re currently considering. The last 10% again has a 9 100% of the time. .9 * 19 + .1 * 100 = 27.1%
4. The pattern continues. At this point I’m going to get less formal because I’m not a mathematician. I repeated the pattern, which is .9 * (previous answer) + .1 * 100 many many times with the help of some tools on my calculator. It converged very slowly towards 100% (pic of calculator screen: http://imgur.com/a/UqXuT)
10%, my original instinct, is the answer to another similar but definitely distinct question, “What percent of digits in all whole numbers are a 9?” Picture both of these situations as a venn diagram – in that question, the circles don’t overlap, but in the OP’s question, they do because numbers can contain a 9 but that doesn’t preclude them from containing other digits too. Furthermore! I would argue that the answer to that question is not in fact 10% exactly but slightly higher than 10%! Zero doesn’t get its fair share of the pie because we don’t use leading zeros to represent whole numbers, so zero never gets to be the first digit of any number, whereas all the other digits do.