Would someone please explain why "οι εφημερίδες" and not "τις εφημερίδες"?
The Greek /s/ sound can sometimes sound a bit like our "sh".
Because Greek doesn't have a separate "sh" sound, the "s" sound doesn't need to be kept strictly separate to avoid confusion, so the pronunciation can sometimes wander a bit towards an area that sounds "sh"-like to us.
Can you hear the difference between οι and η ?
No. η ι υ ει οι sound completely identical in modern Greek.
It's like ee and ea in English -- we use different spellings because they used to be pronounced differently, but now they have merged completely and you have to memorise that "green" and "clean" are spelled differently, for example.
If the word has left traces in English, you can sometimes get clues to the original vowel -- for example, Greek εφημερίδα is related to English ephemeris -- the spelling ephemeris gives us the clues that the first /i/ sound in εφημερίδα is probably an eta and the second one almost certainly an iota -- as is, in fact, the case.