I had this same issue with a Casper mattress. They "approved" my return but left it to me to find a charity or recycler to get a refund. When I couldn't, I told them so and they said they'd schedule a pickup. Then they dicked me around and never scheduled one.

Eventually I called my credit card company, gave them the email proof that Casper approved the return and that I had done my part. They immediately processed a chargeback, and wouldn't you know it, at 9:30am the next day Casper scheduled the pickup.

Anyway, I recommend you tell Zinus that the charities you've contacted have said it's illegal to sell a used mattress in NJ, and ask them what to do now. They still need to honor their refund policy, and it's not your job to research how.