There are two directories where the library is included:
APPDIR/GnuPG/bin/Zlib1.dll (version of Zlib is here 1.2.8)
APPDIR/Gpg4win/bin/Zlib1.dll (version of Zlib is here 1.2.11)
For version 1.2.8 two CVEs are known: CVE-2016-9842 (CVSS 8.8) and CVE-2016-9841 (CVSS 9.8).
Accordingly to @aheinecke the use of Zlib is strongly limited, so these CVEs are not relevant for GnuPG.