I can hear the fan very loud and when I record it picks up the fan noise instead of the audio that I want recorded.  Is this normal?

Upgrade your firmware and when you record the fan will turn off

The Osmo is a highly advanced device in a very compact package. In order to sustain continuous operation in all environments, a fan is required to cool the internal electronics. This is the noise you may be hearing when you utilizing only internal microphone to record audio. A directional external microphone mounted slightly away from the camera on the optional Universal Mount can eliminate the fan noise.
The built-in microphone is used for reference recording or when audio is needed in a hurry, however to get the highest quality audio, it's recommended to use an external microphone. (For more FAQ, you can find in DJI official website @http://www.dji.com/product/osmo/info#faq)

The latest firmware version v1.5.2.0 has added the function to turn off the fun so that the user would get a better audio performance. However, please note that when the heat of the Osmo while running is too high and rises to a certain temperature, the fan will be turned on automatically to cool the inner components in case of any damage caused.