You can create all the morph targets in ZBrush, export the FBX and key them in Blender or another software if you wish to refine them and then import into UE4.
You might want to check the commercial ZBuilder plugin for ZBrush on Gumroad and ZBrush plugins forum threads and on youtube: https://www.youtube.com/watch?v=GWO4nk6Fo-w , I think it really shows how useful ZBrush can be with morph targets.