I don't think this is a bug. You are doing it so fast that you can't actually tell if you are unclicking or letting go of 'z' first. Probably you are letting go of 'z' first, but at almost exactly the same time, so the zoom window goes away. The zoom window most likely doesn't have any glitches like this, it doesn't check anything like if it has been 200ms, it just goes frame by frame.
Edit: I tested this at 3fps, and it seemed to work fine frame by frame.