This is covered fairly well in Steve Menary's book Outcasts. The gist of it is that Zanzibar isn't a country (which is fair enough) and - unlike many of the above - isn't so far away from its "parent" country that it can't participate in its league. So Guam counts because it's just too far away from the US to have club sides play in the US leagues. The likes of England and the Faroes count because they got in before the rules tightened in the mid-90s.
If you let Zanaibar in, you'd have an awful lot of places (some fairly silly) trying to get in. There's a lot of money in being in FIFA.
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