Final answer:
The Aztec Empire was not colonized during the late 19th century and early 20th century as it was conquered earlier, and Great Zimbabwe was not in West Africa, but in Southern Africa.
Step-by-step explanation:
The empire among the options provided that was not colonized by a European nation during the late 19th century and early 20th century is Option 2: The Aztec Empire. The Aztec Empire was in fact conquered much earlier by the Spanish conquistadors led by Hernán Cortés in the early 16th century. On the other hand, the Zulu Kingdom was eventually conquered by the British, and although both the Mughal Empire and the Ottoman Empire faced European interference, they were not formally colonized during the specified period.
The empire that was not in West Africa is a. Great Zimbabwe. Great Zimbabwe was located in Southern Africa, quite far from the West African region where the other empires listed (Ghana, Mali, and Songhay) were situated. Great Zimbabwe was known for its massive stone structures and was the center of a significant kingdom which prospered by trading across the Indian Ocean.