CHDs aren't meant to go in zip files, you can put them there, but it means MAME has to then extract them to memory first. There are situations where that might be useful (if you want absolutely no disc access on CD based games once MAME has loaded the rom) but it's not really the way it's meant to be done.
For the OP, actually studying the exact error message and posting it would help.
My gut feeling is that you're not reading the message and trying to fix the wrong problem. More recent versions of MAME use device roms, for example sfrush needs tms32031.bin, in tms32031.zip which is the internal bootstrap code for that CPU.
The messages are explicit, not pasting them exactly helps nobody.