It should be as simple as adding the Analytics code to each of the php files in the zenphoto theme that you are using.
I'm using it on my blog and as i am using a mix of the wordpress theme and the zenphoto themes it's working fine on both.
If you only want the analytics code in one place, check out how i access the blog theme here. http://www.zenphoto.org/support/topic.php?id=674