There’s not a native way to do this in Axure. You’d have to host the zip file somewhere and use an “open external link” action to trigger the download.
I use a free dropbox account for this; just change the bit at the end of dropbox’s share link that says ?dl=0 to ?dl=1 to avoid sending the user to dropbox’s preview page.
EDIT: I played around with this a bit and got it to work. It’s hacky, but it does allow you to embed any arbitrary file into your prototype: