The correct pronoun in the sentence is "its".
Step-by-step explanation:
In this sentence, we are describing a singular noun, which is the African pygmy mouse and its physical characteristics. Since we are referring to a singular noun, we should use a singular pronoun to replace it. In this case, the appropriate pronoun is "its", which is a possessive pronoun that shows that the tail belongs to the mouse. "Their" is not the correct pronoun to use in this sentence because it is a plural pronoun.