The island of Zanzibar (and its neighbor Pembra Island) are located off the Eastern coast of Africa. This location has been a prized base for African powers, Sultans, and European colonists. Even in the time of ancient Egypt, it was a legendary port and trading hub.It has been home to lucrative spice groves and trade, slave trading, and piracy. In the 1920-40's it has a strong colonial presence, though it is nominally ruled by a Sultan. It's also a popular base for expeditions into Africa, particularly the Great Rift Valley region. In short, it's a great pulp location.

Zanzibar can be incorporated into a pulp campaign in a number of ways including:

Expeditions: Zanzibar is a great location to equip and base an expedition into the jungles looking for treasure, ancient mysteries, dinosaurs, or any other kind of pulpy goodness you can imagine. It might also be a good spot for some between-expedition intrigue.
Politics: Zanzibar is a good place for PCs to get involved in the "great game" of colonial politics. Zanzibar between WWI and WWII is a very international city, so it's quite reasonable to imagine agents of any and all political powers there.
Dark Happenings: The British abolished slavery in Zanzbiar, but in a pulp world, who knows what slave-trading cults may hide in the island's many caves?

All about Zanzibar: History and timelines included

Brief History of Zanzibar

A good map of Zanzibar and Pembra Islands: This map includes geography, industry, cities and villages.

A PDF Map of Historic Stone Town: Zanzibar's principal city, this is a great city for pulp adventures.