1) he's lying ... which would be dangerous since it only takes one disgruntled employee to expose emails and work projects that merged in 3rd-party data (e.g. Acxiom).
2) he's not "lying" ... by doing his version of Clinton's "depends on what the meaning of 'is' is".[0] Let's say Facebook has an internal system that collects data on non-Facebook identities into a holding area. Maybe they internally call it "deferred profiles" or "pre-activated profiles" but not exactly "shadow profiles". Well, MZ can basically interpret "do you have shadow profiles?" as a hyper-literal question and answer with a hyper-literal answer: "no". Again, a Facebook insider would have to come forward and reveal what the shadow-but-we-dont-call-it-that profile actually is.
3) he's telling the truth by every meaning of the question. Facebook truly has zero data on non-Facebook users.
[0] https://www.youtube.com/results?search_query=depends+on+what...