ん doesn't always make an 'n' sound, and is usually transliterated as 'n' or 'm' (in my experience, at least, I've never seen anything else) depending on how it sounds in the word. The wikipedia article about it is pretty good, albeit short, but I think that the most important thing is that ん is pronounced [m] before m/b/p. Hope this helps ^^
That's the difference between Romaji and writing the word in English. We call ん "N" but it's really just a vague nasal sound that takes on the qualities of the consonant that comes after it. Since P is a labial sound, the ん comes out a little closer to M.
Please read the other comments on this page for more details.
を is pronounced as "o", so there's no difference between を and お. Which one it is depends on if the "o" sound is part of a word, or if it's a particle.
"Ao" is the word "blue", so we know it's あお.
In the sentence "tenpura o tabemasu" (I eat tempura), the "o" is a particle showing the direct object of the verb, so we know it's てんぷらをたべます.