This is probably wrong but here goes; this took a little research, often resulting in nothing. I've never been to Bronx (or even abroad for that matter), and unless he lied, nor has TLD (to Bronx), so I thought it had to be some thing which didn't involve you going to the zoo itself. What first struck me was the word Vanilla, which made me think of Madagascar. This was because Madagascar is the one of the worlds largest producers of vanilla. Handily, Bronx has a exhibit called 'Madagascar!', so I had a gander at the page in their website about it. I used Wikipedia to found out about the species mentioned, and found the was a large amount of bushmeat trade in Malagasy mammals, so I thought this could be what 'My bones are depressed' means. Then I was left with three options, as non mammals had been ruled out. This means I'm left in a pickle, which species to choose. So I thought, it would be a species that TLD would be interested in (or at least slightly interested in). So I conclude with my guess of Coquerel's (Crowned) Sifaka.