This is interpretatio graeca, of course, but, if we reverse the process, who would be that god of the Achaemenids that in Xenophon's work gets called "Zeus"?
Found the answer in the book Xenophon's Cyropaedia: Style, Genre, and Literary Technique, by Professor Deborah Levine Gera:
The gods Cyrus sacrifices to are all Greek ones, although Xenophon may have had their Persian counterparts in mind: Zeus is actually meant to be Ahura Mazda, Hestia is the god of the hearth-fire, Helios is Mithra, etc.
In Traditions of the Magi: Zoroastrianism in Greek and Latin Literature, by Dr. Albert F. de Jong the question is more thoroughly addressed:
Ahura Mazda = Zeus
The identification of Ahura Mazda with Zeus is more frequently encountered in Greek literature than the Iranian name of the divinity. It is commonly accepted that it is always Ahura Mazda who is to be understood when Greek authors mention Zeus among the Persians.
As an example, the same Persian Zeus can be found earlier in Herodotus' Histories:
As to the customs of the Persians, I know them to be these. It is not their custom to make and set up statues and temples and altars, but those who do such things they think foolish, because, I suppose, they have never believed the gods to be like men, as the Greeks do; but they call the whole circuit of heaven Zeus, and to him they sacrifice on the highest peaks of the mountains; they sacrifice also to the sun and moon and earth and fire and water and winds.