Agree. I asked about this under another Q as well and nobody answered. At this point I am assuming it is a regional accent of the woman they have saying the sentences. I guess it is useful for us to hear it in these lessons so we are exposed to the various possible pronunciations.
In Spain they pronounce it ¨ey-yah¨ but my Spanish friend once told me that if you really wanna be correct then you should pronounce it as ¨eh-jah¨ because it is pronounced like this in standard Spanish according to her. I noticed that most people there tend to pronounced it as just ëy-yah¨ though.
In Spanish, nationality is not capitalised. The names of countries, on the other hand, are capitalised. https://www.thoughtco.com/capitalization-in-spanish-3080293