I kind of do this, but it is probably not what you are looking for. My method requires shell access to the server.
I upload all my pictures into a directory outside the web directory, e.g. /home/william/pictures/album1/*.jpg
Then create a link to that directory in the zenphoto albums directory, like so:
cd /home/william/www/zenphoto/albums
ln -s /home/william/pictures/album1/
So this is all at the file system level. Zenphoto thinks the pictures are actually in its own album folder, but those are just links to the actual pictures. Thumbnails and resized images are all cached normally.
For me, the benefit of doing it this way is that I can run multiple installations of zenphoto but keep my real picture files all in one place.