Depends on your theology I suppose, and your understanding of it. If, for example, a Christian thinks that a soul goes to heaven as soon as the person dies, then they probably believe that zombies have no soul. If a different Christian however thinks that a soul only gets to heaven once the body is burried, then they probably would think that the zombies still have souls. If an Atheist is in this situation, then they'll probably think that the soul is wherever the James Brown zombie is.
Too soon?