I am going to reuse my answer to the question on electric unicorns:
The unicorns are symbiotic with a jumping spider species, residing on the horn.
The horn is kept at (or can be quickly charged to) a sufficient high potential, and the jumping spiders can be directed to jump on the target while threading a thin wire of cobweb attached to the horn.
As the spider or a group of spiders land on the target the circuit is closed and the target is zapped.
Alternative to the spiders: the unicorn can blow mucus covered particles to the target, with the particles keeping a thin slimy rope of mucus attached to the horn. Zap as above.
Pick the one more suited for your story and stomach.
In this case you don't have a horn, but simply an appendix which can be dielectrically insulated from the rodent size body, where the spiders reside and from where they jump toward the target.
The yellow and black fur is a consequence of the same mechanism used by wasps and friends: it's an alert to inform the potential attacker that "I can hurt you badly, but doing so will cost me quite a lot. For each other's sake, stay away".
The ability to say its name is simply explained with an omophonia: we ear a sound that resemble Pee-ka-chu, and we think the beast is saying its name.