The mental bias towards the Cartesian 2d map projections being what we're so familiar with is strong, and I too instinctively think of "a straight line" as being a straight line on a map. But if you think of the problem at a different scale — say you're standing 50 feet south of the north pole — I feel like you would consider the definition of "face east, then walk forward in a straight line" far less ambiguous.
I'd also point out that it's a puzzle, not a standardized test question. Wordplay, tricks and ambiguities are par for the course.
I'd also point out that it's a puzzle, not a standardized test question. Wordplay, tricks and ambiguities are par for the course.