It's best played with a set of Icehouse pieces, which pack pretty small and can be used for a whole bunch of other games too. You don't need Icehouse pieces, though, you can also play Zendo with coins, matchsticks, etc.
Do you require your Lego structures to be fully connected? Seems like that limits the possibilities a bit, but it would mean you can safely pick them up and move them around, which is always fiddly in normal Zendo.
Makes sense. The one meta-rule I always emphasize when introducing people to Zendo is "make the rule really simple, it'll be much harder to guess than you expect."
It's best played with a set of Icehouse pieces, which pack pretty small and can be used for a whole bunch of other games too. You don't need Icehouse pieces, though, you can also play Zendo with coins, matchsticks, etc.