Because this is the vocative case which does not take an article. The vocative is used to call someone, so when you address someone saying 'hey you', that 'you' is in vocative.
Here, Eleni is not sorry herself (that would be the nominative η Ελένη), you're not sorry for her (accusative, την Ελένη), it's not about something that is Eleni's (της Ελένης), so we're left with the vocative (_ Ελένη!).
Pronunciation in Greek is really straightforward each letter has one and only one pronunciation (with very few exceptions)>
So, "Λυπάμαι" is lee PA may.
But for a much clearer and fuller view you should see the links we've prepared.
These links will not only show you how to get the Greek keyboard but also
how to find the Greek letters on it,
how to add accents etc.
how the letters are pronounced
These are very important
TIPS TO HELP YOU LEARN + HOW TO REPORT A PROBLEM https://www.duolingo.com/comment/22424028
And check out the Greek Forum here with more links.