could it have also been allemande for a female?
If your exercise was English to French, then you can write "allemand" or "allemande".
But if your exercise was French to English, then your answer must identify the correct gender (see AndrewWend1's comment).
Unfortunately, Duolingo's voice exercises do not use speakers directly related to the gender of the subject of the sentence. I have seen other programs that do, however. Here, ignore the gender of the voice.
Would you pronounce "suis allemand" as a liason so it flows nicely? As in "suiza'llemand?
Not everybody would, but I do...
Why is "allemand" not capitalised?
because we don't capitalize nationalities, we consider these adjectives as all other adjectives.
il est allemand (adj)
c'est un Allemand (noun)
Meanwhile, in German, they capitalize everything.
Nope. The rule is the same in this case.
Er ist deutsch.
Eine deutsche Tradition