Theoretically possible though. Coppermine uses an image table and a comments table similar to zenphoto, so it's a matter of writing an import tool to migrate the data, probably including image titles and descriptions if you've typed them (for 20,000 images though? I hope not). It wouldn't be fun, but not terribly difficult either.
If you just want the photos, just copy them into the zenphoto /albums directory and you're gallery is complete. Yes, it is that easy.