Translation:I think that she is going to come tomorrow.
I think you will find that differentiation unhelpful in Spanish however correct in English. Roughly speaking if you can reasonably replace an English "I think" with "I believe" - as you can in this case (the same expression but using 'believe' is very natural) then my belief (!!) is that you should use creer. Pensar is more "intellectual". That is my understanding. I would appreciate a Spanish speaker's comments.
This set of lessons is on the phrasal future tense. The format is: "present tense conjugation of ir (to go)" + "a" + "infinitive of verb (details future action)."
...ella va a venir... = ...she is going to come...
Voy a comer pescado. = I am going to eat fish.
(The notes section at the bottom of the home page for these lessons provides information and examples.)
"Is coming" means "currently in the process of coming." This is not the same as your other two phrases. However, is coming tomorrow does convey much the same meaning as will be coming tomorrow or is going to come tomorrow. (Others have pointed out that this set of lessons is about the phrasal future tense, which combines "the present tense conjugation of ir" + "a" + "a verb infinitive." I find it easier to practice translating as explained in the notes section below the list of lessons on the lesson home page. The duolingo staff may have wanted us to keep it simple even if other translations are correct.)