I don't want zombies in medieval periods because hitting a zombie with a sword(or similar melee weapon) is pretty much the same as hitting the typical soldiers you fight in medieval games. Just step in close and hit'em in the face.
If zombie gunmen took cover and threw grenades just like regular soldiers, then making it a zombie doesn't change much. You just shoot'em like every other bad
Zombies attack stupidly, and in large numbers. It's a pretty specific behavior, and part of the entertainment factor is how your method of fighting them plays off that behavior. Shooting them with guns is fun, because zombie behavior presents an enemy ready to charge into your gunfire and get mowed down. Feels good to cut swaths through incoming hordes, makes you feel like a bit of a superman.
I would be interested in a zombie game set in a European city during WWI. It'd have a mix of melee and projectile combat, in a highly distinctive atmosphere that hasn't been seen very often. There would be room for artistic expression in juxtaposition to the war close at hand where men have lost their humanity and have become soulless shells whose only purpose is to lie in wait until they can kill. (The dark and muddy frontlines were just miles from home for these soldiers, they could spend 2 weeks in a muddy trench, then walk home where everything is almost the same...while still hearing the cannons in the distance). There has been a vast amount of poetry and other literary works detailing the mindset and the atmosphere for soldiers in that period, which can be funneled into the game's presentation.
Zombie media often depict themes of "the loss of innocence" in reflection of how the world has changed after the zombie epidemic. This ties in perfectly to World War I where people still believed in heroic warfare. Marching down the streets to the frontline, expecting swift victory and a triumphant return by christmas. There's a lot of potential for such a game.