Learn Finnish: Juna menee etelään.

Etelä means south. Because the train is moving towards or into that direction, we use the illative (to/into) case, which adds -än to the end. In Finnish, compass directions behave just like physical places, so etelään essentially translates to "into the south".

This lesson is about commands. How would I tell someone "Go south!" using this verb?

The easiest way to form a command (the imperative) for Verb Types 1, 2, and 3 is to take the "minä" (I) form of the present tense and drop the final -n. For the Type 3 verb mennä (to go), the "minä" form is menen. Drop the -n and you get Mene! So, "Go south!" is Mene etelään!

Why does menee end with a double vowel?

Menee is the "he/she/it" (3rd person singular) form. For most verbs, to create this present tense form, you take the verb stem (which is mene- here) and double the final vowel. That gives you the double 'e' in menee.