Would this be used in the context of ancestry? As in, I am both Tanzanian and Kenyan?
Yes. You could say "Mimi ni Mtanzania na mkenya" to say, "I am Tanzanian and Kenyan."
It is just a statement. That is not acceptable to say I am both
The letter "M" is placed before names of places, does it have any special meaning?
Yes, it refers to a person from that country. And the prefix "wa-" refers to people from that country. So:
- mkenya (a Kenyan)
- wakenya (Kenyans)