we say cubanas because it a female and it's more than one female if it was one female we would say ella es cubana since it's more than one we say cubanas.
The reason it’s c is because when you say ellas we are talking about a group of females, so the sentence “ellas son” is they are. What you need to find is a word that is feminine and plural, which is cubanas.
Is yo conozco Espana! It isn't the second or the last one because se just doesn't fit. And the third one you could technaclly say but its not the correct way.
