That is almost textbook data exfiltration, with company data on a personally-owned device. This is almost certainly forbidden by policy, and if it isn’t, it should be.
Do work stuff on work hardware, do non-work stuff on non-work hardware.
Do work stuff on work hardware, do non-work stuff on non-work hardware.
A company that monitors every keystroke using Zscaler can be presumed to have restrictions on stuff that they care about, such as apps that should only be accessed from the corporate network.
And that's precisely the benefit of using the personal machine! Nobody wants every keystroke they make to be monitored. If you do that then it is going to backfire because people will find work arounds. Find another way.