It is possible to use Zend_Tool commands to create projects in shared hosting. Since the shell account is a chroot environment, the ZF library needs to be copied into it. You can run it with:
php /usr/local/php/ZendFramework-1.11.1-minimal/bin/zf.php
You may need this to be done for any domain you add. In a VPS this is not necessary so if you plan to have many domains this may be a better alternative.