No. If you want say that you need the pronoun הם ( 'They') . so it should be : הם לא קוראים לי יוסי
The confusion is probably due to the word קוראים which means 'are calling' but it used to indicate that generally all the people call him Yossi since it's his name.
That's how you can introduce yourself in Hebrew : (your name) קוראים לי
Hope it helps!
Do you know how to use the drop-down hints? If you hover the cursor over the words (in a web browser) or tap on a word (in the Android app) you should see a list of possible translations. The best translation in the context of the sentence should appear at the top of the list. This feature is an essential part of Duolingo; I really don't think it's possible to learn without it.