In order to keep the different squares straight, I'm going to label each one with a number.
The general principle is that paper can't go through itself unless you tear it. Try poking your finger through paper without tearing it. It doesn't work. Simple, eh?
Let's consider a simpler case: a 4-square fold with just the numbers 1, 2, 4, and 5. Can we create the following stack?
1245
There are exactly 4 folds in every 4-square stack. Those folds are between squares 1 and 2, 2 and 5, 4 and 5, 1 and 4. I will call these folds 1-2, 2-5, 4-5, and 1-4 respectively. If you create a square stack, you will find that folds 1-2 and 4-5 are always on the same side of the square, while 1-4 and 2-5 are on another side of the square. That means that the links 1-2 and 4-5 cannot cross each other, nor can the links 1-4 and 2-5. Paper can't go through itself! In the fold 1245, 1-4 and 2-5 cross each other, therefore it is impossible.
For a 9-square fold, there are 12 folds: 1-2, 2-3, 4-5, 5-6, 7-8, 8-9, 1-4, 2-5, 3-6, 4-7, 5-8, 6-9. Remember, the final stack will be a square with four sides. One side will have the folds 1-2, 4-5, and 7-8. Another will have 2-3, 5-6, 8-9. Another will have 1-4, 2-5, 3-6, and the last will have 4-7, 5-8, 6-9. Allow me to put this into a table:
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