Thanks, yes that did it. So, I had to extract the tgz first, then simply "load f:/tmp/zpm-registry" (confirming that the folder zpm-registry contains module.xml. I assumed a Filesystem repository could contain tgz files and it would know what to do with them.
Or, to use "install zpm-registry" I can add a Filesystem repository that contains just this one folder "f:/tmp/zpm-registry". That's what threw me, I assumed a "repository" would contain multiple folders, or packaged modules in tgz format even.
 

zpm:USER>repo
 
 
1) Filesystem
2) ORAS
3) Remote Repository
 
Which sort of repository do you wish to configure? 1
Name:  zpm-registry
Root File Path: F:\tmp\zpm-registry
zpm-registry 1.3.4 @ F:\tmp\zpm-registry\
zpm-registry
        Source:                 F:\tmp\zpm-registry\*
        Enabled?                Yes
        Available?              Yes
        Use for Snapshots?      Yes
        Use for Prereleases?    Yes
        Is Read-Only?           No
 
zpm:USER>install zpm-registry
 
WARNING: The  resource tag is deprecated and may be removed in a future release of IPM.
         Please contact the package developer of zpm-registry to use  instead
WARNING: The {$dbrole}/${dbrole} expression is deprecated. Please contact package developer to use {$globalsDbRole} instead.
Building dependency graph...Done.
[USER|zpm-registry]     Initialize START
[USER|zpm-registry]     Initialize SUCCESS
[USER|zpm-registry]     Reload START (F:\tmp\zpm-registry\)
[USER|zpm-registry]     Reload SUCCESS
[zpm-registry]  Module object refreshed.
[USER|zpm-registry]     Validate START
[USER|zpm-registry]     Validate SUCCESS
[USER|zpm-registry]     Compile START
[USER|zpm-registry]     Compile SUCCESS
[USER|zpm-registry]     Activate START
[USER|zpm-registry]     Configure START
[USER|zpm-registry]     Configure SUCCESS
[USER|zpm-registry]     Activate SUCCESS
zpm:USER>

Happy days! Though, easier to just use "load" and skip the step to create the Filesystem repository entirely.