even if Zakho has 100 Phoenixes left, they will still single-handedly defeat an army that outnumbers them 50 to 1. On the other hand, the map offers many ways to develop heroes; theoretically, the Death Knight strategy described above, as well as a couple of leveled-up Black Mages, can severely cripple him.
However, to make him completely invincible, you only need to give him protection against black magic and remove Death Knights from the map.
In other words, a couple of Black Dragon units, and no units susceptible to hypnosis, etc.
(Personally, I think a completely invincible Zakho would not be interesting; it's much more fun to try to kill him).