When i did have ZiNc setup up as a stand alone emulator, i was also using zincgui. Like it was pointed out no command line. Then i found ZiNcCab and it made all the controll files and after that i used the regular zinc exe. Its been a while but i can look how exactly i had it launching when i get home.
Problem seems that zinc is being used through zincgui which doesn't have a CLI. So it can not be used to run games in GameEx. ZiNc is one of those tricky emulators. Best solution is to use the integrated support instead of as a stand alone emulator as Tom does the hard work in code to make it simple to run games.