Ah no, no difficulty, assuming you meant 'the equator and meridians'. Those particular rhumb lines are straight lines because they are great circles. I do disagree with your apparent assertion that parallels of latitude are straight lines and I think that to teach that to students would be (a) wrong and (b) deeply confusing. Another world view, from above.
Note the parallel of latitude at around 75°N. If you took it to the extreme and looked at the parallel of latitude at 89°59'N you would have a circle with a 1NM radius around the pole. I see you could get down really low and squint at it and suggest that viewed from the side it might be straight but most people would call it a circle.
I appreciate your pedantry, and it is of course important to recognise the exceptions. You know I did
not say 'all rhumb lines are curves', I chose my words carefully. The full statement, were I to make it, would be "all rhumb lines are curves on the earth's surface and on map projections (except Mercators) with the exception of rhumb lines which are also great circles in which case they are straight lines on the earth (but on a spherical surface) and nearly straight lines on all map projections used within their usable area (except Mercators)".
This question was not, however, about full definitions, the OP asked how to show them in a sketch, and pedantic bickering does not help, in fact it must put most people off. As I sit at risk of being accused of the same level of pedantry I will rest my argument now.