Good point! That shows you already have a good grasp of the alphabet if nothing else! There is no context here therefore any of the three ee letters should be correct. However, if I understand correctly, the Duo course only allows for one correct answer for listening exercises, so this sentence has to be reviewed.
This skill will be changed in the new tree, so I suggest a little patience, learn the alphabet, complete the skill, and move on to the more fun stuff! :)
Welcome to the Greek course!