CONFIG_ZBOOT_ROM is not available for thedefaultarchitecture x86.
Result is shown for architecture arm

Compressed boot loader in ROM/flash

configname: CONFIG_ZBOOT_ROM

Linux Kernel Configuration
└─>Boot options
└─>Compressed boot loader in ROM/flash
In linux kernel since version 2.6.12  
Say Y here if you intend to execute your compressed kernel image
(zImage) directly from ROM or flash. If unsure, say N.

depends
CONFIG_ZBOOT_ROM_TEXT!CONFIG_ZBOOT_ROM_BSS