For the "M-Wa" class (named for it's prefixes), which generally contains people nouns, you exchange the "m-" prefix for a "wa-" prefix.
Mimi ni mzungu (I am a white person/caucasian) Sisi ni wazungu (We are white people/caucasians)
The stress in "Watanzania" is on the "ni" syllable (Wa-tan-za-ni-a). This is different from Spanish "Tanzania", where the stress is on "za" because the syllables are "Tan-za-nia".
So, in Swahili:
Sisi ni WatanzaNIa. (I put uppercase "ni" to show the stress)
You can here the sound in the link above: