Originally from Cape Town, she's traveled from Chicago to watch younger sister Stephanie compete in the women's football tournament. She wears the No. 7 shirt.
Stephanie's boyfriend Ben Huskinson, from Houston, Texas, has also made the trip and both he and Zahn are reveling in the Olympic spirit -- even though the Opening Ceremony isn't until Friday.
"This is my first time outside of the United States," Huskinson, 21, told CNN ahead of South Africa's group stage match against Sweden at the Olympic stadium.
"It's very different from the U.S., from what I've seen. I like it. I think it's cool how you can look to one side and see normal Brazil and look to another side and see the Olympic Stadium," added Huskinson.
Zahn and Huskinson plan to attend both of South Africa's group stage matches in Rio as well as its final one in the Amazon city of Manaus.
"Everyone I've ran into on the street is so happy," says Zahn, who is equally impressed on her first trip to Rio. "It's so different from anywhere else."
Unfortunately for Malherbe, South Africa was beaten 1-0 in a match that never quite sparked into life and which served as the precursor to Brazil beginning its bid for the gold medal.
The Olympic Stadium is around a 40-minute journey by public transport from Copacabana, in the Engenhao neighborhood of Rio. It incorporates trips on the modern metro system and the more rustic rail network.
The latter acts as a convenience store on wheels, with sellers pacing up and down the carriages offering commuters the opportunity to purchase anything from cookies and candies to digital watches and purses.
But it is dental hygiene that appears to be on passengers' minds. The most popular product on this particular Wednesday seems to be toothbrushes, with one man selling them at the bargain price of three for five Brazilian reals, roughly $1.50.
Although the stadium was virtually deserted for the start of Sweden and South Africa's tie, three hours later the crowd is considerably louder -- and noisier -- for Brazil's match with China.
To the naked eye, the arena looks roughly half full, with the Games organizers telling CNN 37,000 tickets were sold for the event.
One of the many fans who arrived ahead of 4 p.m. (3 p.m. ET) kick off was Pedro Maia, who says he bought his ticket about a year for 70 Reals, around $22.
There has been widespread public anger at Brazil's hosting of the Games, including protests as the Olympic torch made its way through the city
of Duque de Caxias in greater Rio de Janeiro, with National Force police using tear gas and rubber bullets against the protesters Wednesday.
CNN spoke to a man who witnessed what happened and recorded video of the incident. He said that the protest was largely peaceful and aimed at the mayor, with protesters complaining about the lack of infrastructure in the city.
They say teachers were unhappy because they haven't been paid, and the health care system in the city is in shambles.
Video shows that National Force police used tear gas and batons to disperse the crowd, while witnesses say they used rubber bullets as well.
CNN has contacted National Force but they were not immediately available for comment.
Spirit of sport
Despite Rio's problems, Maia remains optimistic about the Olympics.
"For everyone in Brazil, I think it's a big, big, big party," the 26-year-old, who lives in Rio and is studying law, told CNN. "I think everybody enjoys the Olympics," adding, "I think we deserve that here in Brazil."
"The huge party, the huge spirit of sport here in Brazil," added Maia, "I think everyone is happy about that."
While acknowledging that the political situation in Brazil is "messy," he thinks the country's love of sport will take over once the Olympics gets up and running. A comfortable 3-0 win for Brazil over a poor China team provided a solid, if not spectacular, start to the host nation's Games.
'A Dream Come True'
One of the 50,000 volunteers hoping to help the Games run smoothly is German Rodriguez from Zaragoza, Spain.
A lover of basketball, Rodriguez is instead having to make do with working at the football and track and field events taking place at the Olympic Stadium.
"I always wanted to be in an Olympics, this is a dream come true," says Rodriguez, joking that he only volunteered because he couldn't get into the Spanish basketball team.
"I want to help with the organization to make everything happen."
Rodriguez is staying in Barra, home to the Olympic Park which houses the Aquatics Stadium and Velodrome, among other venues.
He says he loves Brazil, although admits to some initial concerns.
When asked if he had any worries before the Games, he replies: "A little about Zika, but I didn't see any mosquitoes until today."