From the Super Mario Wiki
The Baby Elephant is an item in Mario is Missing!. She is a living elephant and a part of the local wildlife in the Nairobi National Park. She gets kidnapped by a Koopa Troopa when a group of them invade Nairobi, angering her mother and shutting down the entire park to the public. Luigi then rescues her and, as he does not know where she belongs, he shows it to whoever he meets. They give various facts about the elephant, such as how she is specifically an African elephant, and some of them recognize her as being from the nearby nature reserve. Luigi soon returns her to the park's information booth and continues on.