The answer lies in a concept called "nunation." Reading the article in Wikipedia might help you. There is oftentimes an "un" or "tun" sound added to the end of words (depending on if they are masculine of feminine, respectively) that are in the nominative tense (e.g. subject of a sentence) and would be preceded by an indefinite article in English.
Dhakiyya-tun. The sound you are hearing at the end of this word is a part of Arabic's case system. More specifically, a nunation of the nominative case. This should help: