I am using Nokia Lumia 520. There is no zooming option available while recording video. Is there any windows app supports zoom?
As you have discovered, this is not possible at this time- not even with an app. Also, Windows Phone is not the only OS that doesn't support this. iOS has added this feature only in the upcoming iOS 7.
The best you can do at this time is to hope that the next version of Windows Phone (8.1) has this feature.
In the meanwhile, do upvote these suggestions on the official Windows Phone User Voice site: