This is locative case. Quoting the link below.
In the Russian language, the locative case has largely lost its use as an independent case and became the prepositional case, which is used only after a preposition. The latter is not always used to indicate location, while other cases may also be used to specify location (e.g. the genitive case, as in у окна́ ("by the window")). Statements such as "в библиотеке" v biblioteke ("in the library") or "на Аляске", na Alyaske ("in Alaska"), demonstrate the use of the prepositional case to indicate location. However, this case is also used after the preposition "о" ("about") as in "о студенте", o studente ("about the student").
Nevertheless, approximately 150 masculine nouns retain a distinct form for the locative case, used only after "в" and "на". These forms end in "-у́" or "-ю́": "лежать в снегу́", lezhat v snegu (to lie in the snow), but "думать о снеге", dumat o snege (to think about snow). Other examples are рай, ray (paradise); "в раю́", дым dym (smoke); and "в дыму́", v dymú. As indicated by the accent marks, the stress is always on the last syllable, which is unlike the dative-case forms with the same spelling. A few feminine nouns that end with the soft sign, such as дверь and пыль, also have a locative form that differs from the prepositional in that the stress shifts to the final syllable: "на двери́", na dverí ("on the door"), but "при две́ри", pri dvéri ("by the door"). These distinct forms are sometimes referenced as "second locative" or "new locative", because they developed independently from the true locative case, which existed in the Old Russian.
With some words, such as дом, dom (house), the second locative form is used only in certain idiomatic expressions, while the prepositional is used elsewhere. For example, "на дому́", na domu ("at the house" or "at home") would be used to describe activity that is performed at home, while "на до́ме" ("on the house") would be used to specify the location of the roof.
Another inconsistent translation by Duo.
In almost all previous exercises, this sentence would have been translated as "There is a woman standing on the bridge", and Duo's own answer would have been marked as wrong.
Duo would also have said that the correct Russian for it's own answer is: женщина стоит на мосту.
Not that I am challenging whether Duo is correct or not - I don't know enough Russian to do that - but I am challenging the seeming inconsistencies in the materials.