They are presumably red squirrels, which are native to North America and Europe, as the squirrel ambient is brownish-red in color. North America and Europe are where most non-tropical grasslands and forests grow, and the maps where squirrels appear are usually in one of these two continents.
In Zoo Tycoon 2Squirrels are one of several ambient animals in Zoo Tycoon 2. They spawn in naturally and will despawn later. They can also be obtained through failures in the Extinct Research Lab.
Killer Penguins are afraid of them, and will run from them when they are placed in the same exhibit.