Thank you for reaching out to Okta Support! Currently, Okta Mobile Management does not support integrating ZScaler Mobile Admin. Although this option is not currently available, we recommend suggesting this on the Okta Community by using the 'Feedback' option at the bottom of the Okta admin console. This way, it will be reviewed, voted and commented on by other members of the community, therefore making it much easier for the engineering team to understand the priorities that you have for feature requests.
Thank you, Cristian Mondiru Technical Support Engineer