That’s the problem. On the Zero, pin 1 is at the SD card end, but on the inner row. The pin you used, outer row at that corner, is pin 2, which is 5V. Count from there: pin 6 on the outer row is GND, pin 7 is on the inner row. If your red went to pin 2 and the rest followed the tutorial with the board mirrored, the DHT22 probably had 5V or GND on the wrong legs, which is why it got warm.
Ways to be sure next time: the solder pad for pin 1 is square, all the others are round. And on the Pi itself:
$ pinout # comes with gpiozero, prints an ASCII map of your board
3V3 (1) (2) 5V
GPIO2 (3) (4) 5V
GPIO3 (5) (6) GND
GPIO4 (7) (8) GPIO14
So: VCC to pin 1 (3V3), DATA to pin 7 (which is GPIO4 in code), GND to pin 6. Use 3V3 for the DHT22, not 5V, so the data line stays at a level the Pi can take.
Whether the sensor survived: DHT22s are tougher than you’d think. Rewire, let it cool, try again. If it still says not found with the correct wiring, it’s dead, they’re cheap.

