If a Jewish man and non Jewish woman have relations they are not chayav misa, but if caught while in the act, a 'zealot' (kanoi) may kill them.
A kohen is not allowed to become tomai, so since this law is only a voluntary one, does it also apply to a kohen. Being voluntary it may be more important that he should not become tomai. It is not the same as seeing someone being killed where one has to 'mix' and help even if he will become tomai doing it.
See here that there is some argument in the gemoro if Pinchas was already a kohen. If he was, then it ought to prove that he can. On the other hand since there were others there to do it, it would be unlikely that a kohen should be allowed to and make himself tomai. Maybe that is the reason he told Moshe rabainu to do it.
So it must be that when moshe rabainu told him to do it he already knew that some type of nes (miracle) would happen (like it did in the end) and he would not become tomai.
The site I have now seen and quoted seems to say from rishonim that Pinchas if he was a kohen, he would not have been allowed to kill Zimri. But does not give my answer that he did it on Moshe rabainu's orders. But that he knew somehow a 'nes' would happen but doesnt say how he knew. But there again maybe the only reason was because there were others to do it.