The difference is actually in the emphasis. In this particular sentence, "zij" and "ze" are interchangeable :)
"zij" is more emphatic than "ze"
So you use it to express something like "I have no sandwich, but she does."
"Ik heb geen boterham, maar zij wel."
It would be correct if it was a Translate This Text exercise. But I think it clearly sounds like ''zij'' not ''ze''. Both "Zij is een meisje." and ''Ze is een meisje.'' translate to ''I am a girl'' Using zij puts the emphasis on the Girl whereas using ze puts the stress or emphasis on She.
Corrections welcome! I'm finding Dutchgrammar.com pretty useful but Dutch is a whole new ballgame for me!
If it was for a "type what you hear exercise", it helps to play the audio slowly to help you distinguish the sound and figure out if it says "zij" or "ze".
No, that would make it rhyme with 'ah' which is wrong. Think of the 'tio'-part as in caution, notion or commotion.