What do you prefer?

  A. We thank the reviewer for their helpful comments
  B. We thank the reviewer for her helpful comments

[RK] If this is, as it appears to be, a reference to a specific reviewer, then use their preferred pronoun, or possibly a conventional singular one if you know their name and they haven't specified a preference.  
[RK] Only if they aren't known, and especially if they are one from a pool, then "their".
[RK] Or make them plural - We thank the reviewers for their helpful comments.
[RK]  Or rephrase to sidestep the issue (though it isn't clear to me here what that option would be)


Regards,
Richard.