All stereo headphones I'm aware of use the ground as a signal return path, so it runs the full length. I suppose an inline volume control might interupt this, but I'd be surprised.
Another consideration is the cord length. Since the cord is the antenna the length is important, and too long isn't better (for reception). Check the length of the cord that came with the Zen's earphones and stay close. My Koss PortaPros sound great and I like the fit, but the cord is about 6 feet long -- I'd guess it wouldn't work well as an FM antenna (although I haven't tried).