There is code in os::large_page_init() that checks /sys/kernel/mm/transparent_hugepage/enabled and forcefully turns off UseTransparentHugePages if anonymous THPs are disabled in the OS:

  if (UseTransparentHugePages && !HugePages::supports_thp()) {
    if (!FLAG_IS_DEFAULT(UseTransparentHugePages)) {
      log_warning(pagesize)("UseTransparentHugePages disabled, transparent huge pages are not supported by the operating system.");
    }
    UseLargePages = UseTransparentHugePages = false;
    return;
  }

This is problematic because ZGC doesn't use the /sys/kernel/mm/transparent_hugepage/enabled THPs, but instead the /sys/kernel/mm/transparent_hugepage/shmem_enabled THPs. So, with the following settings:
/sys/kernel/mm/transparent_hugepage/enabled: never
/sys/kernel/mm/transparent_hugepage/shmem_enabled: advise

the above code will force ZGC to run without THPs.