"Tanzania we have rhinoceros"
Translation:Tanzania tuna vifaru
I definitely agree on the English translation. We might say Tanzania has rhinos, where I think Swahili allows the verb to identify the nation with the people. Tanzania has rhinos, but we are Tanzania, so "Tanzania have rhinos." It doesn't work in English, but that's what I think is happening.
To say "In Tanzania", you just say Tanzania or nchini Tanzania. Place names are inherently able to be used as locatives and to be clear about it, you can use the locative form of town, city, country, continent, etc. (kijijini, mjini, jijini, nchini, barani) before the place name.
Adding the suffix on the end of na is generally only used for pronominal situations (eg. tunavyo = we have them) or for special emphasis, so tuna would be much more common. If you do want to use the suffix on the end for the object, it wouldn't be -vyo though because rhinoceroses are animate; it'd be tunao.