if your native language has a different alphabet than English then you need to write it. e.g an arabic applicant named "Usman"will write his name عثمان in his native language. if the applicant is Indian and his name is "Gupta" he will write Gupta in his native language (Hindi) like this गुप्ता . A person from Pakistan named Musharaf will write his name in his native language like this: مشرف
So you need only to write your name in your native language if the native language have a different alphabet. and the purpose for asking this is identification, as many countries issue identity documents in their native language.
Rosa Rodriguez in Spanish will be Rosa Rodriguez or Rosa Rodríguez
Hope it clears your confusion