Not that it matters much for purposes of this thread, but it should be noted that not all CBQ E8s / E9s were plated. CBQ Bulletin #11 has the numbers of which ones that were and which were not.
Also don't forget the D&RGW locomotives and Western Pacific locomotives that did pull the CZ Zephyr. F3s, F7s, FP7s, F9s and as I recall D&RGW PA's for a brief period.
For the CZ cars pulled consistently by steam, I would recommend a PRR K4s. The through sleepers than ran to NYC were pulled behind a few PRR NY-CHI trains.
However, it is your railroad. As was mentioned by Allan, always go with your first choice. Why settle for something less enjoyable?