It makes sense that the axis value is 0 because the scroll wheel acts more like a button (a single movement up or down) after which it rests and does nothing. Unlike a joystick, you can’t “hold” a mousewheel into a direction.
You should add the ZoomIn and ZoomOut as ActionMappings. Every time one of these events executes, you should call DoZoom() with a constant up or down float value, which adds or subtracts from a stored target value you want to zoom towards.