The US-Canada Scrabble dictionary does not recognize the word, nor does it accept it as a valid play. Yes, ZO is a valid Scrabble word, but only in the UK version of the game.
The name of this breed originates from the original Tibetan word for the male specimens: mdzo. Its plurals follow the standard form, adding an S to the end of the accepted spellings - ZOS, DSOS, ZHOS, DZHOS, or DZOS.
It can also be spelled DSO, ZHO, DZHO, or DZO. It is the name of a breed of cattle in Tibet, that is a cross between the yak with common cattle. Yes, ZO is a word that can be easily found in British dictionaries. The issue is not in the word per se, but the version of the game the players are playing. Interestingly enough, this is a discussion in which everyone is right. These arguments' main point is always whether ZO is a valid Scrabble word or not. Despite being a simple 2-letter word, ZO is highly likely to generate some arguments around a Scrabble board.