Learn Finnish: Mene ulos, sisällä on vaara! - Go outside, there is a danger inside!

Mennä is a Type 3 verb. To make the casual "you" command for Type 3 verbs, you take the basic dictionary form, remove the final two letters (like the -nä in mennä), and add an -e. This gives us mene.

Why do we use "ulos" here instead of "ulkona" for "outside"?

Finnish uses different words for "outside" depending on whether there is movement. Because you are telling someone to move there (mene), you must use the directional word ulos (out / into the outside). If someone were already standing outside, you would use the location word ulkona.

Why is the word order "sisällä on vaara" instead of "vaara on sisällä"?

This is a classic "existential" sentence, which is how Finnish says "there is a [thing] [somewhere]". Instead of a dummy word like "there", Finnish puts the location first (sisällä), then the verb (on), and then the new subject (vaara).

Do I need to say "sinä" (you) before the command "mene"?

No, you usually leave out the word sinä when giving a command. The special imperative form mene already tells the listener exactly who is being told to do the action.