$\def\SU{\text{SU}}\def\SO{\text{SO}}\def\Id{\text{Id}}\def\ZZ{\mathbb{Z}}\def\Spin{\text{Spin}}\def\Pin{\text{Pin}}$I have a counter-example for $n \equiv 0 \bmod 4$, and a strategy for general even $n$. In particular, I have also found an example when $n=10$ using this strategy, so it is not just about the value of $n \bmod 4$.
Suppose that we can find a Lie subgroup (not necessarily connected) $H$ of $\SO(n)$ such the normalizer of $H$ in $O(n)$ is contained in $\SO(n)$. Then I claim that the action of $\SO(n)$ on $\SO(n)/H$ doesn't extend to $O(n)$.
Indeed, since the action of $\SO(n)$ on $\SO(n)/H$ is transtive, the extended action would also have to be transitive. Let $H'$ be the $O(n)$ stabilizer of the coset $eH$. Then we would have to have $[H':H] = 2$, so $H$ would have to be normal in $H'$. In particular, $H'$ would have to be contained in $N(H)$. But, by hypothesis, $N(H) \subseteq \SO(n)$.
Now, suppose that $n = 2m \equiv 0 \bmod 4$. Let $J$ be the block diagonal matrix, made up of $m$ blocks of the form $\begin{bmatrix} 0&-1 \\ 1&0 \end{bmatrix}$. I claim that $H = \langle J \rangle$ has the desired property.
The centarlizer of $J$ in $\text{GL}_n(\mathbb{R})$ is $\text{GL}_m(\mathbb{C})$ and, if $g \in \text{GL}_m(\mathbb{C})$ has determinant $z$ as a complex matrix, then it has determinant $|z|^2 > 0$ as a real matrix. So the centralizer of $J$ within $O(n)$ lies in $\SO(n)$.
We want the normalizer, not the centralizer, so we must also consider matrices which conjugate $J$ to $J^{-1}$. It is enough to check that one such matrix has determinant $1$. Indeed, $J^{-1} = B J B^{-1}$ where $B$ is the block diagonal matrix, made up of $m$ blocks of the form $\begin{bmatrix} 0&1 \\ 1&0 \end{bmatrix}$. Using that $m \equiv 0 \bmod 2$, we have $\det B = 1$.
Here is the $n=10$ example. Let $W$ be the $10$-dimensional representation of $S_6$ labeled as "second exterior power of standard" in this character table. Like all representations of the symmetric group, this is defined over $\mathbb{R}$, so we get an injection $S_6 \to O(10)$.
We claim that $S_6$ lands in $\SO(10)$. We know that $A_6$ lands in $\SO(10)$, so it is enough to compute the determinant of a transposition. According to this character table, the transposition has trace $2$, so it must have eigenvlues $1$ and $-1$ with multiplicities $6$ and $4$ respectively, so the determinant is $(-1)^4=1$, and $S_6$ lands in $\SO(10)$. We also note for future reference that $W$ is not isomorphic to its image under the outer automorphism of $S_6$, since this automorphism switches the conjugacy classes $(12)$ and $(12)(34)(56)$, and those entries in the character table are not equal in row $W$.
Now, suppose that $g \in O(10)$ normalizes $S_6$. Then $g$ must act on $S_6$ by an automorphism. This automorphism is not outer, or else $W$ would be isomorphic (by $g$) to its image under the outer automorphism. So $g$ acts on $S_6$ by an inner automorphism, say conjugation by $h$ and, replacing $g$ by $gh^{-1}$, we can assume that $g$ centralizes $S_6$.
But $W$ is an irreducible real representation so, by Schur's lemma, the centralizer of $S_6$ in $\text{GL}_{10}(\mathbb{R})$ is $\mathbb{R}^{\times} \Id$. Since $10$ is even, this has positive determinant.
I suspect that, for $n = 10+4k$, it works to take $H = S_6 \times \mathbb{Z}/4 \mathbb{Z}$, with the $S_6$ acting on the first $10$ coordinates and $\mathbb{Z}/4 \mathbb{Z}$ acting on the other $4k$ coordinates. But $\text{Aut}(S_6 \times \mathbb{Z}/4 \mathbb{Z})$ is a bit larger than I want to work out.
This strategy can't work for $n=2$, though. Every subgroup of $\SO(2)$ is normal in the whole of $O(2)$. I think this case requires a very different strategy.