I would become concerned with his insisting that he is Zoe only if it is carried out throughout his daily life, both in your household and in public. That behavior, if continued over several weeks, would merit a discussion with your pediatrician. I would just roll with this now, letting him know that you can play along with him most of the time, while letting him know that you understand that he is pretending. You might even engage his imaginative play in this regard by both pretending that you are Zoe -- he might get a kick out of that. At an unconscious level, kids who are imitating younger children may be saying to grownups that they would like some of that special attention, care and appreciation that they see a baby/younger getting. I am sure that you will handle this with sensitivity, understanding why it's happening and that's it's nothing to be concerned about.
Two-Year-Old Boy Pretends to Be a Girl
Toddler and Teenager Expert Advice from Carleton Kendrick, Ed.M., LCSW