I've done something like this to make a symmetric mesh with a hole in the middle (to represent a well):
[Mesh]
type = GeneratedMesh
dim = 2
xmin = 0.1
xmax = 1000
ymin = 0
ymax = 100
nx = 100
ny = 10
[]
[Problem]
type = FEProblem
coord_type = rz
rz_coord_axis = y
[]
This takes a 2D plane and rotates it about the y axis, so I have a cylindrical mesh with a hole of radius 0.1 in the middle, 100 elements in the radial direction and 10 in the vertical direction.
From memory, if you output this to an exodus file, it only looks like the 2D plane - all of the rotation is done internally in MOOSE, so you might have to rotate the results to make it look like a cylinder.
I haven't tried using a file mesh, but I presume that if you use a 2D mesh that it should just work.
Cheers,
Chris