The Zenith is one of the most difficult cars to obtain because it's quite rare. If you haven't completed the Vice Kings Snatch activity in the Red Light District, one should spawn in the parking lot (behind the Pussy Cat strip club/Brown Baggers liquor store, kitty corner from the Snatch starting marker) after completing level 6. I've had this happen twice, at different overall game completion percentages (40% and 6%). Select the Zenith to display on the HUD while doing Snatch and you'll be able to quickly see if one has spawned nearby.
NOTE: I've also had a Zenith spawn in this same spot after completing Snatch. I was in an Attrazione (which can spawn at the Ultor Dome in the Arena District after attempting the Demolition Derby activity). It might not spawn if you're not in a similar vehicle type (high performance sports car), I have not been able to verify this. If it doesn't spawn right away, drive around the parking lot or around the block.
Hopefully, this works for other people. I tried a lot of other areas suggested by other solutions and no Zeniths ever spawned for me.