Lets see if I can help with the limited experience Ive had.
Put all the scenery items you want to combine in a folder named Scenery ZTDs, this is so you can keep the original ZTDs and not have to find and download them again.
Copy all those files and put them into a separate folder named Scenery ZIPs.
Then in that folder, rename all the .ZTDs to .ZIPs, this will turn the downloaded Zoo Tycoon items into zipped folders.
Unzip the folders, and throw the still zipped copies in the trash because you dont need them once you have all the files folders.
Make a new folder named Scenery Combined (or whatever you want the combined file to be named).
Inside that folder make an objects folder and a scenery folder.
Inside the scenery folder make an other folder.
Now here is where I get a little fuzzy on the procedure, so if Im wrong about something, Im sure Fern will correct me, but here goes:
Open the first scenery item folder in your Scenery ZIPs folder, inside you will see an objects folder and a scenery folder.
Open the objects folder, inside that you will see a folder named with a combination of numbers and letters, copy that folder, then paste it into the objects folder in your Scenery Combined folder.
Go back to the scenery item in your Scenery ZIPs folder, open the scenery folder, open the other folder, inside you will see a .ucs file, copy that file, then paste it into the other folder inside the scenery folder inside your Scenery Combined folder.
Do that with the rest of the items in your Scenery ZIPs folder.
Using WinRar (or whatever program you use to make zip files with) open your Scenery Combined folder, select the objects and scenery folders, select Add, select Zip, select Best, click OK, this creates a zip folder.
Click on the zip folder, from the Commands menu at the top of the window select Rename, then change the .Zip to .ZTD, the zip file will turn into a ZTD file.
Close WinRar, go to your Scenery Combined folder, take your new combined file out, put it in your dlupdates folder, start your game, and see if it worked.
If not, then ask Fern what I did wrong.