I definitely agree that Zecora is probably the most undefined and therefore mysterious of the show.
As little is known about Discord and Luna, there are still flashbacks giving tidbits into their back stories.
Zecora however was never given a back story nor was anything revealed in the show besides that she came from another homeland.
Otherwise, I would wonder more about Sombra since virtually nothing was told of him other than he was a Crystal Empire eating Tyrant.