Learn Finnish: Me emme olleet ulkomailla. Me olimme täällä.

In Finnish, the negative past tense is formed using the negative verb (here, emme for "we") plus the past participle of the main verb. Because the subject me (we) is plural, the participle must also be in its plural form: olleet. If the subject were singular, like "I was not", you would use the singular form ollut (en ollut).

Do I have to include the pronoun me (we) in these sentences, or can I drop it?

You can usually drop the pronouns minä (I) and me (we) because the verb forms (emme, olimme) already make it clear who the subject is. However, keeping the pronoun is very common when you want to add emphasis or create a contrast. Here, the speaker is strongly contrasting two ideas ("We weren't abroad, we were here"), so keeping me sounds very natural.

What is the literal meaning of ulkomailla (abroad)?

Ulkomailla is built from ulko- (outer) and maat (lands/countries). It uses the adessive case ending -lla ("on" or "at"). So, to say you are "abroad" in Finnish, you are literally saying you are "on the outer lands". The -i- before the ending shows that the word is plural.

Why use täällä (here) instead of tässä, which also means "here"?