Unfortunately, I was unable to find a full length Kenyan horror film. My research pointed me to In the Shadow of Kilimajaro; but it feels more like a British production than Kenyan.
However, I did find on YouTube two terrific horror shorts directed by Sandra Nekh. Her biography is here on Smashwords, and she’s talented indeed. Above all, the shorts below show she’s got quite an eye for composing shots and scenes and creating subtle, creepy atmosphere.