Yep such a creature exists! Eclyse is her name and according to the
dailymail she was a "holiday accident"

Her mother, a horse, was taken from her safari park to a ranch in Italy where she had a little romance with a Zebra called Ulysses. Soon after, she was born!

Eclyse the Zorse
She's now a huge attraction at a German safari park. Interesting, isn't she?

Did you know that the first hybrid was born in 1815 and they have been bread for research on inheritance in the early 20th century?