Wait, is there no Zeus divine?

You're correct, there's no Zeus divine horse but there is a BMI named after him - Zeus's Lightning Bolt. There are many Greek Gods to choose from

You can get Zeus as a special COAT with the Greek Gods Wanderer’s Spirit item, at least

The Greek God divines haven't all been released yet. There hasn't been any official announcement about Zeus as far as I know, but the odds are high that he'll show up in one of the future Ascent of Olympus rotations.

The next one after Aphrodite is expected to be but we don't know for certain yet what the order will be and this is just a guess based on the order of the previous ones.

Hope he'll be able to breed. He's Zeus, after all