Hi there and welcome to Electronics Point
Are you sure that component is a zener diode? It doesn't look like one internally, and its circuit reference appears to be SA101.
Did you remove it (or at least one end of it) from the circuit when you measured it? If not, it's possible that other components in the circuit are causing it to measure short circuit but the component itself may not be.
If you post a wider view of the board, and another photo of the underside, we may be able to figure out what type of component it is.