As far as my research goes i am pretty sure it means star, although in many modern slavic languages their words for 'star' don't really resemble zorya apart from starting with 'z'.
And i highly doubt it would be pronounced zor-EYE-a. I'm not entirely sure of the pronounciation, but i think it's something like zawr-yah (but that's just a guess).
The Zorya were a group of guardian goddesses in Slavic mythology. There was the 'morning star' (where the name Danica
comes from), 'evening star' and 'midnight star'. You can find more info here - http://en.wikipedia.org/wiki/The_Zorya
Za soluna, za stambola,
Bitola ne davam...
RIP TOŠE PROESKI 25th January 1981 - October 16th 2007