Here's a reply I recently sent to a person asking information about making nests for their Zebras. It's pretty simple, and I will probably add a little detail in the future.
Zebras will breed in almost anything. Given their choice, most likely they will use a small bamboo finch nest. I prefab it with some timothy hay in the bottom, then circle around some coco fiber on the inside and top it off with a few white feathers.