Translation:Mr. Li, this is Miss Wang.
Because there are people with Anglicized Chinese names. Quite a lot of them actually. Jet Li is Li. Bruce Lee is Lee. Lee and Li are both Anglicizations of Chinese. Pinyin became official for Mandarin generations after many Chinese families moved to other countries.
But that misses the point, and is Anglocentric besides. The point is Duo is teaching Chinese characters, and 李 is lǐ, not lee.
'In mainland China, 小姐 is less used to mean “young lady” because the meaning “prostitute” took over the original meaning; 女士 (nǚshì) is used instead. ' - wiktionary