I haven't hear about modding a Zune HDD into CF. But Zune uses the same HDD as the iPods, so pretty much the same connector.
You can try asking on the hack and mods section of
Zune Boards - Home
Follow the
Rapid Repair: iPod Repair, iPhone Repair, Batteries, LCD Screens and more! guides on how to break apart the Zune 30 - Zune 80.