It depends on the zoo policy and the circumstances of the death.
A zoo I visited in China buried their dead bears in an almost religious ceremony. Poems read and gifts to the departed placed in the grave.
Most deaths will be followed by a post mortem and depending on how intrusive this is the body may be of no use for taxidermy or research.
Some accidental deaths...the body may be used for feeding to other animals.
Animals euthanased by lethal injection may be buried or incinerated.
It is all policy and circumstances. Do not doubt that those staff who do not weep will have bruised emotion. Keepers Care!