I suspect packaging could be an issue. The handheld is about 140 x 60 x 20mm (and the plastic is probably about 2mm thick, so you're actually looking at 136 x 66 x 16mm). The Pi0 board is 65 x 30 x 4.5mm, so it will be a tight squeeze. Especially since
there's not much space inside in the first place, and the battery's
right in the middle of the device, which will make squeezing in a Pi even harder.
Might be possible with a custom AIO, but it won't be easy. In fact, it might be easier to see if you can hack it to load Retropie rather than trying to cram in a Zero. Seems pretty likely that they're using exactly the same hardware for the Atari and Genesis handhelds - and there are Megadrive and GBA versions that seem to be identical except for the button configuration, so there has to be a way to crack it.
https://www.tomsretroshack.com/collecti ... -170-games