So, I've noticed when one uploads a ZIP file it will extract all the images and put them all in the album separately. Is there any way to make it so it stays archived as a ZIP file that can be downloaded? Maybe even with its own thumbnail too?

No but Zenphoto has the feature to generate zip-archives from albums:
http://www.zenphoto.org/documentation/functions/_template-functions.php.html#functionprintAlbumZip