Asset Bank versions greater than 3.1632 support generating previews from the contents of ZIP files.
This works by scanning the ZIP file and getting the first file which can generate an image. A preview image is generated using that file and is used as the thumbnail for the zip file in the browse and detail views.
You can enable this feature by navigating to Admin -> System -> Settings and clicking on Thumbnail Generation Settings. In the settings page view, set "Should a thumbnail be generated based on the first appropriate file in ZIP files?" to yes and click 'Save'.
If you have existing zip files and would like to have them generate previews, you can trigger a thumbnail regeneration. All ZIP files which can have a preview generated will then generate one.