Zero, being a Level E, even with Yuuki's pure blood wouldn't have lived long. Plus, the ritual to make a vampire human would be only able to be performed by a pureblood because of their great powers. If we look at what happened to Juuri, her mother, she sacrificed her life to make Yuuki human for a time. Juuri's husband Haruka was already dying from being stabbed with a hunter weapon so did not contribute to the ritual, thus meaning it is performed by 1 pureblood. Perhaps Zero died and then Yuuki felt she didn't want to live any longer without him or Kaname so she decided that she would perform the ritual on Kaname. I hope my reasoning makes sense but Zero couldn't have contributed to the ritual as it only required 1 pureblood = Yuuki. And as he wasn't there when Kaname woke up then it would be assumed he was dead.
So did zero died at the end??? How???