Enable using a vendored copy of ZeroMQ source code

[nightlark]

For building HELICS from source "distributions" in package managers, it would be useful if a vendored copy of the ZeroMQ source code could be included in the ThirdParty folder, and then HELICS can build from that. Relates to: GMLC-TDC/helics-packaging#24

Building from a vendored copy of ZeroMQ code could probably use a lot of the subproject logic.

We will want to make sure to use the latest ZeroMQ releases since they are licensed under the MPL-2.0 now.