Well, it's a palatalized N. It's very similar to ñ in La Niña, although I always felt that the Spanish version is a bit longer in pronunciation.

I assume when you write "Koń West" that you are asking if it pronounced like "Kanye"—Kanye has two syllables, but koń only has one; and also the "o" sound in koń is long (similar to the o in "bone").

The difficulty (at least for an English native speaker) is to produce the ń sound without a vowel sound after it. To learn to correctly pronounce ń, try saying the sentence "Can you see me," and then try stopping after "Can y—" with no vowel sound, and you will be close to the correct sound in Polish. Listen to native speakers as often as you can, and with some practice you will learn the correct pronunciation.