CONFIG_ZBOOT_ROM is not available for thedefaultarchitecture x86.
Result is shown for architecture arm26

Compressed boot loader in ROM/flash

configname: CONFIG_ZBOOT_ROM

Linux Kernel Configuration
└─>General setup
└─>Compressed boot loader in ROM/flash
In linux kernel since version 2.6.12  
Say Y here if you intend to execute your compressed kernel image (zImage)
directly from ROM or flash. If unsure, say N.