Similar to "Eskimo Brothers", a name given to two men who have had sexual intercourse with the same woman, "Zion Brothers" refers to two men who have masturbated to the same pornographic material. The word "Zion" is defined as a hill in Jerusalem, on which the Temple was built (used to symbolize the city itself, especially as a religious or spiritual center). The hill is a metaphor for an erect penis and the religious and spiritual aspect is in reference to how often men masturbate (religiously) and the feeling they obtain from it (a spiritual one).
Clay: I just whacked off to Edward Penis Hands and nutted so much!
Ben: No way! I masturbated to that yesterday as well!