Let $P:SO(n) \to SO(n)$ be the square map $P(A)=A^2$.
Does $P$ define a covering map structure?
If yes, is there an action of a finite group $G$ on $SO(n)$ such that each fiber of the covering space is a $G$-orbit and each orbit is a fiber??
If yes, can the tangent bundles of $SO(n)$ be acted by $G$ such that we obtain a $G$ bundle structure?
It can't be a covering map for $n>2$, since the fundamental group of $SO(n)$ for $n>2$ is finite, hence it can't cover itself with more than one sheet. But note that $P(I)=I$ and $P(A)=I$, where $$A=\begin{pmatrix} -1 & 0 &0 & \cdots & 0 \\ 0 &-1 & 0 &\cdots &0 \\ 0 &0 & 1 &\cdots & 0 \\ 0 &0 &0 &\cdots &1 \end{pmatrix}.$$
For $n=2$, $SO(n)$ is $S^1$, so the map is a covering map.
For $n=1$, it is the identity, so the map is a covering map.