Translation:We had not even opened the bottle of wine.
what? how on earth does that even matter? Even if that were the case, the point is that the bottle, which contains whatever, was opened... so emphasizing the bottle itself should be fine as well, since the contents are irrelevant to the action. I strongly believe both answers should be accepted.
Personally, I think the only reason why "bottle of wine" is accepted over "wine bottle" is that it is a more direct literal translation.
JimVahl's explanation makes sense to me. When I hear "wine bottle" I think of the bottle itself (likely an empty one). A "bottle of wine" implies that the bottle still has wine in it. It's not a huge difference, and perhaps the Spanish "botella de vino" can translate to either one, but if I heard somebody refer to a full bottle of wine as a "wine bottle" it would sound strange to me. You take a "bottle of wine" to dinner and throw out the "wine bottle" after dinner.
This unusual sentence might conceivably be used if several groups of people were competing to open a bottle of wine, but it is not a correct translation of the Spanish sentence. "Not even we" places the emphasis on what "we" did rather than the fact that the action of opening the wine had not yet occurred.
This is getting pretty technical (I work in the wine industry), but a "wine bottle", i.e. a bottle manufactured to be filled with wine, would be "una botella para vino" in Spanish. A "bottle of wine", i.e. something to be opened, consumed and enjoyed, is "una botella de vino". Many English speakers, however, would likely open the "wine bottle", but that is not an exact translation of the Spanish "botella de vino".
Then how does one say in Spanish: Not even we had opened the bottle of wine. This is the translation I used. As for sounding strange, I've translated many strange sounding sentences on Duolingo. I now just accept the strangeness, enjoy it even, except when I lose a heart. ;-)