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The best resource for gen on steam traction internationally is the International Steam web site, lovingly maintained by a worldwide steam enthusiasts for many years and very helpful.
http://www.internationalsteam.co.uk/internat.htm
Checking the site there is a recent report about the situation in Zimbabwe, where it looks as though there may be a bit of normal steam (albeit only shunting)
Paraguay was the last railway in the world with no traction at all other than steam engines, and was thus the last railway in the world to operate steam as its normal traction.
Nowhere else can really claim to have a national railway that uses steam as day-to-day traction which is not in some way preserved or protected. Although it is day-to-day, even the Wolstzyn steam operation is to a certain extent contrived for the sake of tourists, as it could easily be stopped and diesel traction substituted if that was the decision taken by the authorities.
However, the Paraguay situation seems to have now changed, as per a recent report to the International Steam Pages:
This was possibly the only all steam state railway left in the world, although in its final days it was very much a rump operation with the main line severed. Interest centred on three features, click on individual links below or here for Neil Edwards comprehensive report from August 2009 which includes the preserved mg locos at Tebucary (23rd August 2009). Subsequently, Asunción resident Renaud Olgiati reported (14th January 2011) - At the Asunción end, no traffic at all, as the abutment of a bridge 3 km out of town has collapsed, the tourist service to Aregua is stopped until further notice. At the Encarnación end, I believe that all traffic has now stopped, as the rising waters of Yacyreta dam have flooded a section of the track on the Argentine side. Thanks to Trevor Heath for this one.
I saw the Encarnacion steam operation in 1991, but since then the area has been flooded by large dam projects.