After some research unfortunately we have not found a way to change the timezone using the Zorro script. However you can download the data in excel/csv format using the FXCM native platform in your local timezone and potentially import it to Zorro (seems possible reading through this thread http://zorro-project.com/manual/en/data.htm)
This is a matter of postprocessing data, so FXCM cannot solve it on their side. Download the data in UTC, then write a tiny script to add the time zond offset to the timestamps. Don`t forget DST.