For example, suppose I want to say "It's a weird thing". Can I say "hen na koto desu.", and "hen no koto desu"? What is the difference?
｢変なことです｣ vs. ｢変のことです｣
You use な with na-adjectives and の with regular nouns to make them "adjectival". 東京の学生 tokyo isn't an adjective, it doesn't behave like one. The の just acts as a connector to describe 学生.