Zelda also appeaered in most of the audience shots that were used in many episodes, including the episodes with Ruth Buzzi, Joel Grey, Dom Deluise, Elton John, and many others.
I have read in the Muppet Central season 2 guides that in one episode (I forget which one), Droop danced with someone named Zelda, and I am assuming that this is Zelda Rose. I could be wrong. According to the credits section of that page, she was performed by Jerry Nelson in that episode, so I know that she has spoken in at least three episodes (the one I just mentioend, the Milton Berle episode, and the Carol Burnett episode).
She also appeared in the first backstage scene in the Harry Belefonte episode.