You can, but i don't know how. And there is no game called "Metroid Zero".

Did you mean "Metroid Zero Mission"?

http://www.cheatscodesguides.com/gameboy-advance-cheats/metroid-zero-mission/

Metroid Zero Mission - 2004 VG is rated/received certificates of:

USA:E

You turn on your GBA with Metroid Zero Mission and link it to your GBA with Metroid Fusion, BUT when you turn on Fusion, hold select and start or maybe it's L and R but the Nintendo sign will disappear. Then on the Zero Mission menu, you select Fusion Link and then it downloads the entire Fusion Gallery to your Zero Mission cartridge. Enjoy!

No. The one people know it as is "Metroid: Zero Mission".