I'd recommend against using Word's referencing feature, which isn't very good (to put it mildly). There's no direct export from Zotero in a format Word can import, but you can either use the toolchain described here: https://forums.zotero.org/discussion/56438/microsoft-words-built-in-bibliographic-management or go through the (free) JabRef software, which exports Word XML and imports a range of the formats exported by Zotero (I'd guess BibLaTeX will work best).