The Australian crashed out in front of her home crowd, despite opening up a commanding lead.
The ninth seed, who has never been beyond the fourth round at her home Grand Slam, says that the pressure can make it difficult.
"I got tight, and then you start missing some balls," she said.
"You probably think a little bit too much. You do it over and over again, and then yeah, you start not wanting to miss, rather than wanting to hit a winner.
"I just didn't want to make an error. At 5-2 up in the third, a double-break is a bit of a choke, yeah."
Zheng will go on to play Julia Goerges in round three.