How to connect ZynAddSubFX and previewing notes?

LV2 and VST are as yet not supported, so you'd either need to fork the code and implement this yourself until someone else graces the project with this functionality, or you'll need to export your score to a MIDI file and load this into a program that can play MIDI code with these plug-in types. One other way would be to use Jack MIDI-out and have the plug-in accept the MIDI from Jack. There are searchable posts here about this method on the forums. Good luck with it. If you get Jack working properly, use the Virtual Keyboard to preview notes by "clicking buttons" without note-entry.
 
Code-wise, I can't help but think that the VST capable, open-source OpenMPT tracker might be of use -- as well as Audacity -- if this were to be implemented properly.