Whoops! A listing on the PlayStation Store in Hong Kong revealed a Mega Man Zero/ZX Legacy Collection is in the works. As it stands, the only confirmed listing is for PlayStation 4 but if previous collections are anything to go on, this is likely to show up on all platforms later on. It is listing a release date of January 21, 2020, but who knows if this is the confirmed date or a tentative date.
Beginning in 2002, the Mega Man Zero spanned four games before moving on to the ZX/ZX Advent iterations. From the leaked listing:
Mega Man Zero/ZX Legacy Collection brings together six classic titles in one game: Mega Man Zero 1, 2, 3, and 4, as well as Mega Man ZX and ZX Advent.
In addition to the original games, this package includes an artwork gallery, music player, special filters, and much more. Casual Scenario Mode and a Save-Assist feature are available for those who would like to enjoy the story at their own pace. Players can also try their hand at the new leaderboard-based Z Chaser Mode, an exclusive new mode created just for this set of games.
Source: Gematsu