Can BWT be combined with zstd, which uses asymmetric numeral systems?
BWT can be combined with anything which does RLE and get a benefit.
What does it does is give RLE more to work with.
As people mentioned elsewhere in the thread, Burrows-Wheeler isn’t really composable with other systems. Nobody has figured out a reasonable way to combine LZ77 and Burrows-Wheeler. That’s why zstd + bzip2 does not work. But you do need an entropy coding system to go with Burrows-Wheeler… and FSE fits the bill.