Hi David,
I understand from previous posts that it's not necessary to feed insects to Zebras. If you try, they will likely ignore them. Wouldn't hurt them, just probably a waste of time and money. Other than that, any good finch seed mix would be the first and obvious staple.
I prefer to try to find some that do not have added vitamins or pellets. Just plain seed (no artificially coloured bits) is best so that you can soak the seed and offer that the the finches. Soaked seed is really good for them. If you can only find the kind with additives, then best not to soak that, as it usually has sugar in it, so I've heard, and that promotes bacteria. So if you want to offer soaked seed, soak some of your millet sprays instead.
For greens I think chickweed is probably the most popular among finches, but if not available, they will likely be just as happy with kale or romaine lettuce, grated carrot, beet greens. There's a list of good foods to offer and those to avoid, on the Finch Information Centre.
Your zebras should also always have a cuttlebone available to them, and most people also recommend crushed oystershell rather than 'grit' which doesn't always provide added calcium. If they are breeding, then also be sure to hardboil and egg and mash it up, shell and all, and offer it to the finches. This is very important when they are laying and when feeding babies who need a lot of protein.
If you offer all these things and the finches are sampling all of it including the greens/veggies, then they probably don't really need any supplements, though many people still offer a vitamin/calcium supplement when breeding (only 2 days a week though, not every day).
There's a lot more detailed stuff on the FIC, and others will probably suggest other things to include. But what I've suggested would be the minimum that all finches should really be fed...amounts and whether or not you feed each daily is a matter of convenience or personal perference. So you'll get different suggestions from different folks.
