Zeplin automatically fetches local colors of a Figma file when you export any frame or component in it.
These colors will be suggested under the Color Palette section of either your project's Styleguide tab or your styleguide. You can either add them all using the “Add All” button or click separately on the ones you want to add individually.
If you ignore them once by clicking “Ignore these colors”, 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 or a styleguide.