And Finnish letters aren't just a-z, they are a-ö. We have å, ä, ö at the end of our alphabet. Å sounds like Finnish O and it is used mostly only in Swedish names (we have Swedish alternative names for some cities and even rural places in the Southeast area) but ä and ö are frequently used in Finnish, and the sound quality is different from a and o.
A is more like the a in "father" and ä like the a in "cat", o like the initial sound of o in "more" and ö a bit like the i in "third".
Actually, it shouldn't be marked correct. If you are referring to someone who is or has transitioned, (for example someone who transitioned from female to male), then you usually use their current pronouns, rather than their previous ones, because that's rude. "She is a man" would probably really offend someone because, despite transitioning and clearly being out to you (since you're aware they are a man), you still choose to call them by their previous pronouns.
"Mies" means man, "nainen" means woman and "hän" means he/she. If the sentence is: hän on mies, you should always aim for he, since it's a man. Vice versa for nainen.
I'm sorry transgender people are being left our here, but this is about learning the language properly, not political corectness.
Actually, transgender people are not being left out, because trans men are men, and trans women are women ;)