I have my images stored in a directory outside of the Zen Photo directory structure. When using the stopdesign theme to view an image, the link for "full size" is a hyperlink to the local file system.
file:///D:/shares/Photos/2006%2520December%2520Misc/IMG_5256.JPG

You can see the album at http://thenears.homeserver.com/zenphoto

This is correct behavior. Full Sized image are the actual image. If you put your images outside the zp structure you need to make allowances in your server with aliases or something so that the image can be displayed by the browser if someone clicks on the link.