Australian and US Open champion Sabalenka, who is headlining the first women's professional tennis tournament in Saudi Arabia, packed far too much power for Zheng at crucial points in their fourth meeting of 2024 on Saturday.
In a rematch of their Melbourne and Wuhan title clashes, it was Belarusian Sabalenka who edged ahead in a tight opening set with a break in the sixth game.
Olympic champion Zheng enjoyed plenty of vociferous support at the King Saud University Indoor Arena and led four times in a closer second set but Sabalenka drew level each time and finally broke for a 5-4 lead with a searing forehand winner.
She wrapped up the contest on serve despite a wobble with a double fault, when Zheng sent a forehand long.
The WTA Finals, which features the top eight singles players and doubles teams in the world and has a record prize pot of $15 million, will culminate with the title clashes on November 9.
Winning three round robin matches or reaching the final are some of the ways Sabalenka can retain top spot this year, while closest challenger Iga Swiatek needs to successfully defend the trophy to have any chance of overtaking her.
In the doubles event, Australian Ellen Perez, partnering American Nicole Melichar-Martinez, got off to a great start in their first round-robin match, with the sixth-seeded pair fighting back to beat third seeds Su-wei Hsieh and Elise Mertens 1-6 6-1 [10-6].
