Well it's mostly a matter of relative proximity.
Though, I believe there is a variety of small penguins living off of Tasmania, but maybe it's just puffins. God I love puffins. >.>
I don't think any nation would have a strong case for penguins other than an Australian one, or Mictlan. Those two are seriously the closest you might get.
Well, Machaka being Zulu, they come from more southern parts of Africa, right? Just not many people/cultures near the south pole.....