It's on the West-Central part of the world map, both in the WOB and the WOR. If you draw a straight line due south of where Figaro Castle docks when you go to Kohlington(sp?), it'll intersect Zozo, which is nestled in the mountains. If you are going to it in the WOB by foot, you need to walk or ride a chocobo from Jidoor north along the eastern coast, then after a bit you can curve west into the valley that Zozo is in.

Here's the link to the maps here at EOFF:
http://www.eyesonff.com/ff6/maps.shtml