Possible Pairings
It seems to me that it would be impossible to pair Zellas with anyone. She is after all, a mazoku lord, and therefore entirely incapable of feeling love. However, purely for the sake of the fandom I'll list what I think are the most probable and improbable pairings!
Zellas and Xelloss
Love Calculator: 11%
This is the most likely pairing for Zellas, though also one of the most unlikely for various reasons. Xelloss is the one person who Zellas is always in contact with and the one person who lives with her (as far as we know). In the ending credits of Slayers NEXT, Xelloss is seen bowing and then talking/reporting cheerfully to his master, suggesting that they have a fairly easy-going and mutually understanding relationship, but still a subservient one. Because of their closeness and easy-going attitude around one another, Xelloss is probably the most likely person Zellas would ever hook up with in any manner. However, because of Xelloss's role in relation to his master, he seems almost like an offspring, an extension of Zellas's will. He is Zellas's greatest servant, and though highly trusted, I doubt she'd see him in any other way.
Zellas and Dolphin
Love Calculator: 75%
Dolphin is the only other person Zellas is ever seen in direct contact with, in this case in the novels. In opposition to the usual misconception that Zellas dislikes Dolphin and drove her insane, the two lords seem fairly easy around one another, and Dolphin is anything but nuts. Rather, she comes off as having a strong but cold personality, traits that might be attractive to the wild Beastmaster. However, their relationship also seems business-only, as if they would only get together in order to accomplish something mutually beneficial. But then again, how often are mazoku lords known to cooperate with each other at all? This is another improbable, but possible relationship, fandom-wise.
Zellas and Phibrizo
Love Calculator: 55%
In the anime, Phibrizo contacted Zellas so that he could borrow Xelloss to watch over Lina and the gang. Though this may suggest that the two have a partner-like relationship, the reality is that Phibrizo was the leader of the five lesser mazoku lords, and it would probably have been unwise of Zellas to refuse him the request. And though Xelloss obeys his orders to the last, he seems none too thrilled about serving Phibrizo, and none too sad to see him die. Aside from that, Xelloss also continues watching Lina after Phibrizo is dead, suggesting that Zellas only agreed to Phibrizo's demands because they fit well into her own plans, and that she was using Phibrizo as much as he tried to use her. In the end, I see this relationship as thinly-veiled hatred and purely competitive.
Zellas and Luna
Love Calculator: 34%
Completely irrational. Despite rumors, the two don't even know each other, and so a relationship would be highly improbable, lest they do meet in the future and decide they like each other. However, Luna is also the Knight of Cephied and therefore Zellas's enemy. It's something of a conflict of interests.
Zellas and Gaav
Love Calculator: 57%
Highly improbable. Though I'm sure Zellas was well acquainted with Gaav, he was a traitor to the mazoku race, and all evidence would have us believe that Zellas doesn't take too kindly to traitors. I would imagine that Zellas would most likely be disgusted at the thought of a relationship with a turn-tail half-human.
Zellas and Dynast
Love Calculator: 35%
Dynast appears in the novels, but I don't think he's ever mentioned as having any direct involvement with Zellas. Though they undoubtedly know each other, I've never seen or heard of them interact, so I'm not sure whether they'd be a good couple or not. Perhaps, but then again it's just as unlikely as likely at this point.
Zellas and Lina?!
Love Calculator: 44%
Well...the idea has more merit than some pairings. ^^; After all, Xelloss is ordered to follow Lina around for reasons unknown, and he has yet to make a move to truly harm her or blackmail her into anything (though he has threatened her life in passing), so it makes you wonder why Lina is so important to Zellas and what exactly Zellas wants from her. Only time will tell, though it's more likely to be something sinister than not. Or perhaps Lina just always manages to get into the right kind of trouble, making it easier for Xelloss to report interesting and potentially beneficial findings to his master. Who knows?
But may I take this opportunity to remind everyone reading this that first and foremost, fanfiction aside, MAZOKU DO NOT LOVE. They are incapable, literally, of feeling the emotion, and even if they somehow did manage it through some enchantment or something similar, it would kill them outright. Please do NOT take any of these pairings as canon, and if you're a purist, make sure any mazoku in your fics don't fall in love. Unless of course, you want to kill off your character. ;)