Correct. It's called nunation. When reading formal Arabic, essentially every word will have an "n" sound at the end of words. It's confusing, yes. I suggest you read up a bit on it if you're curious. But for colloquial speaking don't use nunation. For the purposes of this course they shouldnt have it in my opinion.

The sound that's being is not the ن but rather it's the sound of something called the "fathatain" that's pronounced at the end of a sentence. In the context of روزا, the sound that's being made is as if there were two dashes (one dash is called a "fatha") at the top of the letter "alif" or "ا" which is what makes that "an" sound.