Translation:There is a new bridge in Edinburgh.
So the confusion is actually based on the way English uses the word 'There' for both a state of existence and as a geographical point. Is the takeaway that in Gàidhlig, "Tha" encompass the concept of "There IS" and not just "IS" as we have used it so far in the lessons? Leaving the geographical there to "an sin"?
Interesting points. Normally, tha just means 'is'.
For the geographical point, you would say Sin dròchaid ùr, or maybe use siud to indicate 'over there in the distance'. But of course that would not make sense. If you were pointing you would not also need to say where it was.
For the existence you would normally say Tha Dròchaid ùr ann. The problem is that you would not need the ann if you followed it with a prepositional phrase as here. If you said, in English, A new bridge is in Edinburgh it would not be good English but you would be understood to be making an existential statement. This contrasts with A new bridge is, which does not mean anything unless you add there to the beginning or something else to the end.
I've given a more expansive demo of the difference between the two words there and how to translate them here.
If you break it down into parts, what you get is really a bit more like:
Drochaid: bridge/a bridge
Ann an: in
Dùn Èideann: Edinburgh
More literally, "is a new bridge in Edinburgh". The more common way to express that, and the way I answer this specific exercise, is "a new bridge is in Edinburgh".
Folks say that "a new bridge is in Edinburgh" isn't exactly good English, so we sort of casually toss a "there" in at the start and change it to, "there is a new bridge in Edinburgh". There are actual reasons to use "there" (indefinite nouns at the start of a sentence), but this is a Gaelic course so to me, knowing what the Gaelic is saying (and how to think that way) is much more important than whether the English being produced is a bit clunky.
The important parts to take away are that "new bridge" is "drochaid ùr" and "in Edinburgh" is "ann an Dùn Èideann". Whether it's better to say "there is a new" or "a new bridge is" in English will be mostly irrelevant unless you're translating or interpreting for someone - once you start thinking in Gaelic, the English won't matter.