Yep, it's true. The landlocked African country has a navy, consisting of one ship, the "Swazimar," and it's missing. And yes, it's a big ship, and it's really missing.
Nobody can explain this better, or funnier, so I'll just give you the quote from Swaziland's Transport Minister Ephraem Magagula, who told Parliament, "Our nation's merchant navy is perfectly safe. We just don't know where it is, that's all. We believe it is in a sea somewhere. At one time, we sent a team of men to look for it, but there was a problem with drink and they failed to find it, and so, technically, yes, we've lost it a bit. But I categorically reject all suggestions of incompetence on the part of this government. The Swazimar is a big ship painted in the sort of nice bright colors you can see at night. Mark my words, it will turn up."
When one of the members of Parliament suggested that government officials had to be extremely doofy, not to mention stupid, to have lost such a big, brightly colored ship, Magagula replied, "The right honourable gentleman opposite is a very naughty man, and he will laugh on the other side of his face when my ship comes in." Boy, I guess ol' Ephraem told him.
As for the logic behind putting cops on the case, well, the police are responsible for missing persons, and there are, or were, some persons on that ship. Good luck, officers, and try not to have "a problem with drink." Remember, it's probably "in a sea somewhere."
Any lateral transfer requests for Swaziland PD?