Except I think in она the о is usually pronounced "ah", because of it being the last syllable before the stressed syllable. So if I'm not mistaken, она is "ah-NAH" and Анна is "AH-nuh". Which is why they are hard to distinguish for us non-natives. The first syllable is pronounced the same, "ah", so the key is to listen carefully to the second syllable.
I think both of you had the same sound in mind writing uh and ah. Russians actually pronounce two n's in Анна, so there are two ways in which these words are different. But yeah, it's still hard for non-natives like us. The stress usually does not change the meaning in my native language. And double consonants are just a hint for vowel lengths. Except in compounds. Okay, now my mother tongue starts sounding hard to me :D
Unfortunately, Duolingo does not give me the opportunity to repeat the same question immediately and try other variants. The two suggested "correct" answer certainly do not fit the cases where someone has said "Она молодец!" to me about my daughter. "She is doing very well" or "She is a very good girl" or something like that would fit. (It was an indirect way of saying "You should be a proud father.")