Certainly not necessarily in $N$ (of course it has to be in $G$: $G$ is closed under all finite products, and in particular all finite powers). For a counterexample, take $G$ to be a product of a cyclic group of order $n$ and one of order $m$ with $\gcd(n,m)=1$, $C_n\times C_m$, and let $N=C_n\times\{1\}$. Any element $g$ with nontrivial second coordinate will not satisfy the condition that its $n$th power lies in $N$. Likewise the result does not hold for a not-necessarily-normal subgroup of order $n$.
What is true is that if the index of $N$ is $n$, then $g^n\in N$ for every $g\in G$. This is a consequence of Lagrange's Theorem applied to $G/N$.
If $H$ is a not-necessarily-normal subgroup of index $n$, it is not the case that $g^n$ must lie in $H$ for all $g$. Take $G=S_3$, $H=\langle (12)\rangle$, and $g=(13)$. The index of $H$ is $3$, but $g^3\notin H$.