No regular fire can make zinc magnetic. Zinc alloys are magnetic - at 35 Kelvins (minus 230°C, or minus 400°F), but not at room temperature.
The only way I can imagine a zinc cent being made magnetic is if you heated it nice and hot (but not too hot; zinc melts at 900°C and burns at 1000°C) while packed in iron filings or some such, so some of the bits of iron stick to the surface to give the cent a coating of iron. If you heated it to about 700-750°C, that might do the trick, but I'm just guessing here. I imagine that getting blasted by some sort of modern industrial iron-spray-coating device would have a similar effect, but the only reason I can think of for doing either of these is to answer the question, "Can we make make a penny magnetic?".
Could it be a mint error? Was the mint experimenting with steel cents in the 1980's? Other countries that stopped using solid bronze for low-denomination coins (e.g. Great Britain) have switched to copper-plated steel, so it's not impossible, I guess. But then you'd have to ask how it got in that condition...
The third possibility is that it's some sort of fake. I know, it sounds stupid - who would want to make a fake cent out of steel or cast iron



So there you have it - three highly improbable explanations. Can anyone else refute or explain?
Don't say "infinitely" when you mean "very"; otherwise, you'll have no word left when you want to talk about something really infinite. - C. S. Lewis