Ran across this issue the other day at a client. I was setting up Forms Based Authentication for a SharePoint site collection and naturally created another Zone for it like I had a multiple times in the past. Problem was, it turns out that we didn't want it to be like the typical multiple site collection (one with Windows Auth, and the other with FBA), so I was left with an extra zone DOH!
If there is a way to delete it through central admin then I must have missed it. Below is the only command to my knowledge that will let you delete an extra Zone from your site collection.
stsadm.exe -o unextendvs -url http://yoursite:portNo -deleteiissites
Once again, stsadm.exe saves the day and gives me another reason to despise the Central Admin UI.