From an evolutionary biology standpoint, what does the successful creation of a zonkey confirm?

That zebras and donkeys share a relatively recent common ancestor close enough for reproductive cells to combine.

Evolutionary biology interprets the successful fertilization and development into a viable, albeit sterile, organism as strong evidence of shared ancestry. The ability for the reproductive cells of the two animals to merge and initiate development signifies that the genetic divergence between zebras and donkeys has not proceeded so far that essential reproductive compatibility is lost. However, the resulting sterility—driven by fixed differences in chromosome numbers and other traits—illustrates that they are far enough along the continuum of speciation to be considered distinct groups, possessing traits that natural selection has solidified to prevent complete blending into one species.