Learn Croatian: Mislim, ali nisam siguran. - I think, but I am not sure.

The dictionary form is misliti (to think). Because it is a regular -iti verb, you form the first-person present tense by dropping the -ti and adding -m, resulting in mislim.

Would a female speaker say this sentence differently?

Yes! The word siguran (sure) is the masculine form, meaning this sentence is currently spoken by a man. A woman would use the feminine form and say: Mislim, ali nisam sigurna.

Is nisam a combination of two words?

Yes, it is the negative form of sam (I am). Instead of saying ne sam, Croatian merges the word ne (not) with the verb to create the single word nisam (I am not).

Why doesn't the sentence use the word ja (I)?

Because the verb forms mislim (I think) and nisam (I am not) already have endings that indicate who is speaking. In Croatian, you usually drop subject pronouns like ja (I) unless you want to add special emphasis.