Learn Italian: No, non sono inglese.

When answering a yes/no question negatively in Italian, you use what looks like a double negative. First you say no to answer the question, and then you must use non right before the verb to mean 'not'. It translates literally to 'No, not I am English'.

Where is the word for 'I' in this sentence?

Italian usually leaves out subject pronouns like io (I). The verb sono already means 'I am', so you don't need to say io sono unless you want to strongly emphasize that you aren't English, but perhaps someone else is.

Would a woman say inglesa instead of inglese?

No, she would still say inglese. While many Italian adjectives end in -o for masculine and -a for feminine, adjectives that naturally end in -e (like inglese) are unisex. They stay exactly the same for both men and women.

Why isn't inglese capitalized?

Unlike in English, Italian does not capitalize words for nationalities or languages. Therefore, 'English' is always written as inglese with a lowercase 'i'.