A zine is simply a printed or digital collection of one or multiple creators work, be it art/photography/writing/comics/etc typically following a theme! Yup, as simple as that :)
Zines are usually distributed for cheap or free, and are generally intended to be small self-published projects.
If are you familiar with fandom zines, as those have over time grown larger in scope and expectation, [and are arguably more accurately referred to as artbooks] it may not be useful to see zines at large in the same way.