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Is there any data that lists the first/last name along with the dominant ethnicity associated with the name? I'm mostly interested in Africa.

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I guess something like that would have to be computed from micro-data, prior to anonymization. Ideal would be censuses, but they are always conducted by the local statistical agencies and anonymized prior to being published and there's very limited international co-operation between these agencies. So chances that someone has already compiled such data are slim.

Organisations conducting large-scale international surveys, e.g., afrobarometer, MICS, or DHS, in principle have the necessary data and could compute what you're asking for. But you'd have to contact them to see whether they are willing and able to publicize a collapsed version of their raw data, only showing ethnicity shares by last names.

I myself have such data for The Gambia only, but I can not share it online. If still required send me an email.

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