Hello @Chetan Vijay Gomase ,
I have no direct experience with ZScaler but it seems it prevents communication either to the IoT Hub or over the protocol of use (MQTT or AMQP).
Regarding IoT Hub, perhaps you can check if your IoT Hub is black or whitelisted.
Regarding the protocol, Azure IoT also supports MQTT over Websockets.
Check out this blog post about IoT Hub communication with Python.
It comes with this GitHub example where communication over websockets is enabled.
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