Let $C$ be an elementary topos with final object $1$. A natural numbers object is an object $\mathbb{N}$ equipped with morphisms $q:1\longrightarrow \mathbb{N}$ and $s:\mathbb{N}\longrightarrow\mathbb{N}$ such that for any object $A$ and morphisms $z:A\longrightarrow A$ and $f:A\longrightarrow A$ there exists an unique morphism $\phi:\mathbb{N}\longrightarrow A$ such that the obvious diagram is commutative.
For proving that the category Finset doesn't have a NNO I was thinking to use an especific object $A=\{a_{0},...,a_{n}\}$ and morphisms $q:1\longrightarrow A$ such that $q(0):=a_{0}$ and $f:A\longrightarrow A$ such that $f(a_{i})=a_{i+1}$ for all $0\leq i\leq n-1$ and $f(a_{n})= a_{0}$. Then there exists the object $\mathbb{N}$ with $|\mathbb{N}|=m$ with the morphisms $s$ and $z$.
Then I was thinking that we will conclude that $\mathbb{N}\cong \mathbb{Z}_{n}$, because we will have $\phi(z(0)))=a_{0}$, $\phi(s(z(0)))=f(a_{0})=a_{1}$ and $\phi(s^{n}(z(0)))=a_{n}$, but from here I don't know how to get a contradiction.
Thank you very much.
Keep in mind that the morphism $\phi$ you get does not have to be injective. Suppose $\mathbb N$ is a natural numbers object in FinSet, and let $A_n:=\{a_0,\dots,a_n\}$ be the finite set you called $A$. Your choice of $q_n:1\to A_n$ and $f_n:A_n\to A_n$ give rise to a morphism $\phi_n:\mathbb N\to A_n$. So far this is just recapping what you had said.
Now, $\phi_n$ is a priori just some map of sets. It is not necessarily a bijection, so we can not conclude that $|\mathbb N|=|A_n|=n+1$ and similarly cannot conclude that $\mathbb N\cong\mathbb Z_{n+1}$ (note I have $(n+1)$'s where you wrote $n$ since we started indexing the $a_i$'s at $0$ instead of $1$). For example, if $n=1$, it is a priori possible that $\mathbb N=\{0,1,2,3\}$ with $\phi(n)=a_{(n\mod2)}\in A_2$.
So we do not get a contradiction from considering one $A_n$, but we will get one from considering all $A_n$'s. The point is that the $\phi_n$ you constructed is always surjectivie, so we do know that $|\mathbb N|\ge|A_n|=n+1$. In fact, we know this for all values of $n$. Thus, $\mathbb N$ cannot be a finite set, and this is the contradiction.