French divides nouns in genders. More specifically, in French, a noun can be masculine or feminine.
Usually, nouns which refer to a man are masculine, when nouns which refer to a woman are feminine. Some word which can refer to one or the other have two forms: one masculine, one feminine. This is the case for “Italien/Italienne”.
“Italien” thus means “Italian man”, “Italienne” means “Italian woman”.
Moreover, articles, adjectives, pronouns, … agree (in gender and number) with the nouns they refer to. In the case of the indefinite article (which matches the “a” in English), the masculine is “un” and the feminine is “une”.
Thus, ”un Italien” is “an Italian man” and “une Italienne” is “an Italian woman”.