No, I don't think this will save you any disk space. It may even use more, since you've got multiple filesystems in play.
Celada is right -- a unionfs operates at the filename level, not the block level. If you change a file on a read-only layer filesystem, it gets copied to the writable layer. A block-level unionfs would be a heroic feat, if only because of the difficulty of separating the two filesystems afterwards. The unionfs would have to be a proper filesystem itself to keep track of which block is on which filesystem, and the writable filesystem would no longer contain complete files and would be unusable outside of the unionfs. At that point you may as well use a proper multi-disk filesystem like ZFS.
However, if all you're trying to do is avoid extra network traffic by downloading pieces of the CD images, then yes, I think zsync will do its job. It will probably be delayed on the first write to each file as the unionfs copies the large ISO image across filesystems, but otherwise things should work normally. But since it won't save any disk space, I'd rather zsync directly onto a base filesystem containing the initial ISOs, and not bother with unions.