Well, if you have two different URLs but the machine is the same, it should work if you set the admin path manually.
If you are using two entirely different machines, I'm afraid there's no easy solution.
There's only a possibility I see - short of changing a lot of code in the plugin - but I'm not sure it will work and haven't tested it:
1) Copy your Zenphoto configuration file (zp-core/zp-config.php) on the machine where Wordpress is running
2) Configure ZenphotoPress so that its Web address is the one for Zenphoto (no change here) and the Admin path points to the directory where you copied zp-config.php.