Also, why on earth would you expect an ‼artifact anvil‼ when zinc isn't flammable?!
Zinc *can* be burned (into ZnO) in the real world; this has been used since at least Roman times e.g. in the production of brass via shaft furnace ~200 AD. ZnO is referenced even earlier as a medical compound (clearly by ~100 AD, possibly as early as ~500 BC). It should be at least vaporizable in DF. Real world stats: melting point 419.5 °C, boiling point 907 °C, typical temperatures for "burning" into ZnO about 1,000 °C; compare to DF magma temperatures (~1,111 °C). DF stats: MELTING_POINT:10755 °U, BOILING_POINT:11633 °U, compare to DF magma temperature at 12,000 °U.
Note from the wiki: "Rarely, dwarves in strange moods will make anvils out of other metals; due to a bug, the game permits them to be used in any forge regardless of their fire or magma safety. The material used does not seem to affect the performance of the forge, nor does the anvil's quality." It's not actually clear whether this is a bug; if *artifact* anvils are in fact by their "magical" nature immune to fire and heat no matter what their material, you should be able to build a forge around one, and in fact this may be how the First Forge was constructed.
So one would expect (I haven't tested this) that in DF a normal bar or other object of zinc exposed to magma would be destroyed and leave a cloud of "boiling zinc" at some point. Artifacts are generally known to resist destruction, so it's a fairly good question what would happen. I don't *think* you'd end up with a situation where a not-yet-constructed anvil produced a steady cloud of boiling zinc vapor but remains unconsumed, but given the weird handling of objects it's at least remotely possible. Make a copy of the fort and find out for ‼science‼