This build is with Abathurs Ultimate Evolution (hero clone ult in mind)... albeit this is how I play Zag even without an Aba around...

Hunter Killer makes Zag stupid deadly... 4 hunter killers... well the enemy is on the ropes for either their tanks/front line are melted or their squishies are running for their lives.

No, Aba's clone of Zagura cannot use Nydus Network.

Abathur Build (warning, wall of text and ramblings):
http://www.heroesfire.com/hots/guide/abathermite-wall-of-text-w-ramblings-clone-locust-strategy-5261