So when you first start a trick, does she usually just catch on with the tennis ball?
Yes, she does. If I start to teach a new behaviour with food, then, because she sees food as extremely secondary to the ball, the behaviour is also done with less enthusiasm (and most certainly less speed). If, on the other hand, I start with the ball, then she will generally be much faster and much more enthusiastic because she wants to get to the ball at the end.
You are absolutely right though, shaping with a tennis ball does make teaching some behaviours more convoluted and, dare I say, 'trickier'. However, I've long since got used to the fact that Ellie is a tough dog to train (by far the hardest I've ever had to work with). My life (and yours by the sound of it) would be so much easier if we each had dogs that were motivated by food.
If you take the example of the kleenex, it would be just the same as shaping with food, but it's overall much slower because you have to bounce the ball, and the dog has to catch it, etc. (As opposed to just passing a piece of food from your hand to the dog's mouth.) So shaping isn't quite as fluid or as quick as it is with food, but I think when you have a dog with the makeup that we evidently have, the overall result, when using a ball, is just as good as that achieved by a food-motivated dog.
If you're looking for a specific example, and I haven't already taught her it, I'll video it with a tennis ball from the start to show you what I mean.