Ok, so I've created a custom index page named combopage.php and it's in my theme.

Then I've modified both the news.php and gallery.php.

I've set the option for the theme "Gallery index page link:" to link to the combopage.php, to no effect.

So thinking I had messed up something in the theme I'm working on I loaded the default zenpage theme. Went into the options and changed gallery index page link to be contact page. It has no effect either, loading the main news/gallery pages instead.

Checking the database the options are saving properly under the custom_index_page for theme options, so I'm not sure what to reference now.

Am I misunderstanding the "Gallery index page link:" usage?

Yes you did...:-) You mixed a "custom page" with the "home page" feature. The homepage feature requires a Zenpage pages, a custom page is an actually more or less static page outside the management of Zenphoto (see the theming tutorial on that).

The Zenpage theme has a switch on its index.php page (there is actually nothing else). This either loads the gallery.php page or a custom Zenpage page (= it calls pages.php and fetches the Zenpage page set as home page).