Keys appeared on course for a first fourth-round appearance at her home slam since 2023 after taking a commanding third set lead against Olympic champion Zheng.
But the 2025 Australian Open winner would miss a match point and lose each of the final seven games in a 1-6 7-6 (7-3) 7-5 loss that stunned the crowd.
The 31-year-old Keys said she felt as though she “couldn’t play tennis anymore” in the final set.
“I obviously got off to a really good lead, and then I got really scared, like I couldn’t swing [the racquet],” Keys said.
“I felt like I couldn’t play tennis anymore. It just felt like it was a much bigger deal than just playing a tennis match all of a sudden.”
Keys, who lost the 2017 US Open final to fellow American Sloane Stephens, went out in the fourth round at the other three majors in 2026.
“I feel like I’ve been struggling for a while now. I’m going to have to make some sort of changes,” Keys said.
“I just kind of keep putting it off because that’s how the tennis world works. It’s just to the point where I actually need to do something about it.”
Anisimova, beaten by world number one Aryna Sabalenka in last year’s US Open final, lost in straight sets to Russian-born Austrian 24th seed Anastasia Potapova.
The 25-year-old was visibly frustrated with herself throughout the contest, losing her serve twice in the first set and four times in a topsy-turvy second.