OK... this is going to involve explaining glides...
Glides are sounds which can be either consonants or vowels, depending on context. English has two: w and y. These are equivalent to the vowels "oo" and "ee" respectively. (I'm laymanising this a bit.)
Try saying "oo-indow" or "ee-ellow" and you'll see what I mean.
Now, the original pronounciation of the "eu" vowels in the names in question is roughly "ee-oo" (roughly because the vowels get mispronounced slightly as you go from Classical Greek to English). Because of the fairly complex stress rules in English, "Zeus" (2 syllables) gets stressed differently to "Theseus" (3 syllables):
zee-oos
thee-see-oos
Now, because the "oo" in "Theseus" is unstressed, it gets shortened to "u". And because the second "ee" is unstressed, and there's another vowel after it, it's very liable to get even shorter and transform into the related consonant.
thee-si-us or even thees-yus
In Zeus, the "oo" stays long because it's stressed, and the "ee" before that changes into a "y" for the same reason:
zyoos
Which is how it's still pronounced in English accents. In American accents, a general change operated to delete "y" before "oo", leaving you with
zoos
The same rule operates in words such as "obtuse" (tyoos in England, toos in America), "tune", etc.
Now in Greek, it happened the other way: it was the "oo" that became a glide consonant - so it was something like "Zews". But "w" as a consonant is not very far from "v", and Greek shifted "w" to "v" (in the same way that German has done). Before a voiceless consonant such as "s", "v" changes to its voiceless counterpart "f". So:
e-oos --> ews --> evs --> efs
To make things even more complicated, "Z" in Classical Greek times was pronounced "zd". So the actual classical pronounciation of "Zeus" is probably something like "zday-oos". It's from a root meaning "shine": the words "Jove", "deity", "Tiw" (Norse war-god), "Dyaus" (old Hindu sky-god) are from the same root, which has led some to suggest that our Indo-European ancestors worshipped a pantheon headed by the god of the bright sky.
In answer to the original question: mythological names which have been naturalised as loan-words in English are probably best pronounced according to English rules, as long as we're clear that it's an English loanword we're using, not an actual Greek word. (So Zoos or Zyoos is fine.)
This is particularly the case because a lot of Greek names in English have passed through the filter of Latin first (so we have Uranus instead of Ouranos, for instance).
I've just about got used to this myself after worrying about it a lot when I was younger. My personal bugbear was always "Circe" pronounced as "sir-see" when it was more like "keer-kay" to start with. That one still makes me wince a bit.
Hope that answers the question.