Where would I begin an ancestry search, my children are supposedly direct descendants of Chief Cornstalk?

My husbands grandmother stated that she was a direct descendent of the Shawnee Chief, Cornstalk, It was rumored that her great great great grandmother was one of his white brides. Her maidenname was Duffey... I would like to start researching this but do not have a clue as to where to even begin, any suggestions
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