Zero transpiles and bundles all the code files (.js, .html, .jsx, .md, etc). But otherwise it just serves the file as-is.
Your static files (images, documents, etc) can reside alongside your code files. It won't affect your code.
If you project is structured like this:
- project/
- index.jsx
- style.css
- logo.png
If you visit http://localhost:3000/ it will render your React page. The logo file is accessible at http://localhost:3000/logo.png as you would expect.