"She is from Mexico."
Translation:Ella es de México.
This sentence doesn't make any sense. Would be like saying "She is from Mexican" in English, i.e. nonsensical.
"México" is the name of a country, i.e. a noun. Nouns don't change their gender. I think you confused it with the adjective "mexicano", which, like all adjectives, adapts to the qualified nouns and would be "mexicana" for a woman. So you could say "Ella es mexicana" when you want to translate the sentence "She is Mexican".
I share the same opinion. I always lose hearts because I keep making silly mistakes, most of the time, on those nonsensical sentences like this one. I'm not sure if it is done on purpose for learning process but I don't enjoy the app like I used to as It kills the fun of learning a language :(