Depletion MOSFETs. How to protect with zener?

There aren't many depletion MOSFETs, but the same principle applies, you need to prevent the gate-source voltage from exceeding the absolute maximum Vgs (should there be a risk of this). A single zener sounds sensible if you are not going to be forward-biasing the MOSFET so Vgs will only be one polarity. Otherwise a TVS diode could serve.