Just a thought experiment: considering training seems to be 'fair use', I wonder if they trained a tiny model to retain key info from your prompts, would mean that this would still constitute fair use, and allow them to legally claim they don't retain your data.

ZDR is shorthand for a more specified agreement of "we don't do anything other than generate your output tokens", so no.

Besides, true ZDR is usually offered by third-parties with deals to host OpenAI models, such as Amazon (AWS Bedrock) and Microsoft (Azure).