Short Answer
Is not possible to do.
Long Answer
I researched it a bit, and the most common and probably 'logical' answer found is that is not possible, mainly for security reasons.
"You can not start/execute an .exe file that resides locally on the users machine or through a site. The user must first download the exe file and then run the executable."
"This assumes the exe is somewhere you know on the user's computer"
Solution
Depending on the Application you are interested, there may be implementation or API that allows you to leverage this and basically they for you go and search for the installed app in the Client's App.
Now, in your case is for Zoom, and it seems that you can achieve this by following Zoom's guide (Official guides are your best friend) HERE.
What it says is just to go at:
https://zoom.us/join
Then the user must provide the Zoom code, then it you press the 'Open Zoom' in the alert box.
So you just need to add a tag like so:
<a href="https://zoom.us/join">Open Zoom!</a>
NOTE: I'am not sure whether this will actually open Zoom in the web or it goes and finds the Zoom app installed in the Client Device, however is for sure a pretty professional way to open the Zoom meeting as it goes through the actual official Zoom screen.
Sources and reference