Zeplin automatically exports document colors of a Sketch file when you export any artboard in it.
These colors will be listed under the project Styleguide. To add them to the project permanently, you can either add them all using the “Add All” button or click separately on the ones you want to add.
If you dismiss them once, Zeplin doesn't show these colors again on your next export, to not bug you all the time. To reset this, select “Help > Reset Suggested Colors” from the menu up top, while you're in a project.
After selecting, just export another artboard and they should appear under the project Styleguide!