".ZIP" isn't listed (I scrolled down the "Applications-window"). So what is causing my Mac to automatically Unzip files without my permission?
Screenshot shows that ".Zip" is not listed in that "Applications-window":
I had this problem and I too did not have zip in my list. But finally we figured out that the solution was right there in the dialog that pops up when you go to download a file! Just got new OS installed and that was set at "Open" as the default. (This is Yosemite 10.10.5 but this dialog box has always been there in the previous versions too.) Guess I just never paid any attention to that before because it must not have been set at "Open." So you can check "Do this automatically for files like this from now on." to have it stop asking you, or "Save File," to have it at least keep that as the default box checked from now on. (Or, if you don't get this window, you'll have to first change your Firefox preferences for downloads, temporarily.)
I'm sure you have gotten a resolution by now, or are no longer following this thread, but just thought I'd add that for the next person who happens along.