It is not done automatically.
First go to Monitor > URL Filtering and use filter below to identify if it might cause any false positives.
( url contains '.zip/' )
If no hits then add *.zip/ into your custom URL category where you add all your other custom blocked domains.
If you don't have any then follow guide https://docs.paloaltonetworks.com/pan-os/10-1/pan-os-admin/url-filtering/custom-url-categories
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