Arun Sirpal explains what zone redundancy is in Azure:
Do you know what happens when you enable zonal redundancy for your SQL managed instance?
Lets define it first (in the context of Business-Critical tier) – zonal redundancy is achieved by placing compute and storage replicas in different availability zones (3) and then using underlying Always On availability group to replicate data changes from the primary instance to standby replicas in other availability zones.
Availability zones are in the same Azure region, so it works well for high availability but isn’t as good for disaster recovery: if an entire region goes down, zone redundancy won’t help you very much. Also, be aware that you’re paying for what’s running in those three zones because TANSTAAFL.