Create a temporary folder(say TempFolder) to save your pdf files. Inside your for loop, use either move file or copy file activity to move your pdf files to the new location TempFolder. Now use invoke code activity and write the code “System.IO.Compression.ZipFile.CreateFromDirectory(TempFolder,ZipFilePath)”. Note that ZipFilePath and TempFolder should be “In” arguments for your invoke code activity.
This should solve your problem.