(Adds details and background) SANAA, March 25 (Reuters) - Gunmen kidnapped a married Western couple working at the United Nations ****** in the Hada district of Yemen's capital Sanaa, where many diplomatic missions are located, a local police source said on Tuesday. Kidnapping is common in U.S.-allied Yemen, where the government is struggling to contain an insurgency from Islamists linked to al Qaeda, a southern separatist movement, fighting in the country's **rth, and sporadic conflicts with armed tribes. Yemen, which borders oil giant Saudi Arabia, has long wrestled with instability, internal conflicts and poor governance. The United States, along with some other Western and Gulf countries, is working with an interim government to effect a political transition after former president Ali Abdullah Saleh was forced from ****** in 2012 by street protests.