Zane was completely flabbergasted by what he witnessed here in Phoenix, Arizona. The city was like an oasis in a proverbial desert, one that was completely devoid of life. And while it may be true that the city was placed in a literal desert, the metaphor was no less meaningful because of it.
Naturally, Zane was confused, confused about how such a place could exist. Sure, according to Serena's words this was a place where undead, or specifically the vampire variety co-existed with humanity.
Humans voluntarily sacrificed a minor portion of their blood in exchange for the protection which Serena brought them. That is, if the Vampire Queen's words could be believed. She was, after all one, who Zane suspected of having a charm like ability in a similar vein to that which Lilith possessed.