The legend is that Minnie, the matriarch of the Marxes, wanted to keep her boys out of the Army during World War I. She installed the family on a farm near La Grange, Ill., since farming would exempt young men from service. Chico one day passed Herbert and said, "Howdy, Zeke." His brother replied "Howdy, Zeb." He soon became Zeppo forevermore.Add this to other stories of the origin of Zeppo's name, such as being named after the zeppelin, or after a chimpanzee named Mr. Zippo (see also "Zeppo Marx: FAQ").
By the way, I haven't been able to document a performing chimpanzee named Mr. Zippo, as cited in Harpo's autobiography, but I have discovered that Zippo the Climbing Monkey was a popular toy produced by the toy company owned by Ferdinand Strauss in the early twentieth century. In 1921, Louis Marx (no relation), bought out his former employer, Strauss. The deal included the tooling to make Zippo, which at that time was considered obsolete. Marx sold 8 million Zippos over a two-year period, which helped to propel him toward acquiring great wealth and building one of the greatest toy companies of the twentieth century.
So, could it be possible that Herbie Marx acquired his nickname from this acrobatic little simian?
Link to Zeppo's obituary.
Link to "Zeppo Marx: FAQ"