I understand pong means name, and 'oH means "is", but what does the wlj mean? Is it just the possessive pronoun "my"?
It doesn't really have an equivalent in English and it has more of a grammatical purpose than a meaning. It's worth noting that there are two separate 'e' syllables and they are different. One is a word - a pronoun which is used to refer to the previous sentence. That's not the one in this sentence. The one in this sentence is a noun suffix that indicates that the noun it is attached to is the focus or topic of the sentence. A common way to translate it is, "As for [the noun]..." So you could translate the sentence in this exercise as: "As for my name, it is Mara."
Most of the time the -'e' suffix is optional and just used to emphasize something, but in a sentence type called a "copula" it is grammatically required. A copula is a type of structure where you are saying one thing is equivalent to another. For instance: my name = Mara. In English we use the conjugated form of "to be", so: "My name is Mara."
In Klingon you use a pronoun: mara 'oH. ("It is Mara.") Here the pronoun 'oH is acting as both the connecting word (like the verb "is") and the subject pronoun. In Klingon, you cannot use both a subject pronoun and a subject noun, you have to use one or the other. But if we want to specify what noun the subject pronoun represents (like "it" being "my name" in this example), then we have to find a way to sneak that noun into the sentence. So we use the topic suffix -'e' to mark an extra noun as the noun we are talking about in this sentence. mara 'oH pongwIj'e' ("As for my name, it is Mara.") Of course that's a really weird way to say it in English, so this is basically the same as, "My name is Mara."
I hope that helped. Some of this is explained in the Tips & Notes, but it is so different than English that it can be hard to grasp. Have you read the Tips & Notes? Do you know what the Tips & Notes are?
I've noticed with many of the sentences that letters are capitalized where it is emphasized. Is this simply to emphasize that syllable/sound to help learn, or is it part of proper spelling for Klingon?
Capital letters are never used for any kind of emphasis. Letters are either always capitalized or never capitalized. There are two semi-exceptions to that rule. There are separate letters Q and q. These do not represent the same letter in uppercase and lowercase - these represent two different letters with two different pronunciations. There is also a letter H and a symbol h. The reason I call the second one a symbol and do not put it in bold is that it is not a complete Klingon letter; it is only used to create digraphs and trigraphs - Klingon consonants represented by a group of symbols. ch, gh, and tlh are each a single Klingon consonant represented by two or three symbols grouped together. Thus when you see an h, you know that it must be part of ch, gh, or tlh. In particular, this helps us distinguish ngH (ng-H) from ngh (n-gh).
When Dr. Okrand created the spelling system that he used, the point of the capital letters was to point out the letters that are pronounced differently than actors might expect. D, H, and Q all make sounds that we don't have in English even though they use letters that we also use in English, so he capitalized them in Klingon. The S is made differently than either the English s or sh, even though it sounds a little like sh to the ears of most English speakers. The I (capital i) does make a sound that i makes in English, but many foreign languages use a much different sound for the letter i, so Dr. Okrand thought he better capitalize that one too, in case actors wanted to pronounce it like a foreign i.
When Dr. Okrand wrote the Klingon Dictionary he thought it would be an oddity that a few fans would want to display on their shelves. He never imagined a whole community of fluent speakers. So he never bothered to put much thought into whether the spelling system was actually a good one for ongoing use. He has said he would do things differently if he knew then what he knows now. However, his Klingon Dictionary is still the essential resource and a common learning tool and so we maintain the spelling system so that everyone is using the same spellings.
That is, everyone but Duolingo! The software that creates the sentences sometimes recapitalizes them. In multiple choice exercises, never disqualify an option just because it has a letter in the wrong case. On tile exercises you will often be offered a tile that use proper cases and another tile with the same word with different cases. In actuality, Duolingo will accept either as correct. Unfortunately, when you are typing in answers, Duolingo will accept either the lowercase or the uppercase letter equaly, even though only one is correct Klingon spelling. Finally, the audio system does not recognize the difference betwen Q and q and so randomly plays one or the other for you and does not allow us to make the distinction clear.