I'm not sure the sentence makes sense in English: I think you would need to say "do we go into that zone" in English. "Do we walk in that zone" would work, though. But with "go", I can't see how the sentence would not imply that you are not in that zone when you start going. How is it in Romanian? Would you need "la" instead of "în" if you moved into the zone or would "în" still possible?
This has caused me lots of confusion as well whenever my girlfriend (native Romanian speaker) explained. If you are "going to Romania", you are "mergem în România". I think you can substitute for "la", but that indicates direction/intent more than destination, as far as I understand. Correct me if I'm wrong.
"Are we going into that zone?" Do in this context comes from nowhere. It doesn't seem to help understand the Romanian construction and it's unnatural English. Into not in as others have said. For English speakers perhaps this doesn't matter but commenting just in case any Romanian speakers are seeing.