It's an internal function. A checkin comment on version 661 of the source file says "Use base R coding style convention for internal non-exported functions: .fill_short_gaps() instead of fillShortGaps()."
I found the source on r-forge: http://r-forge.r-project.org/scm/viewvc.php/pkg/zoo/R/na.approx.R?view=markup&root=zoo
.fill_short_gaps()
is at the bottom of that file.
Since the function was renamed recently, you should make sure that all of the libraries that you're using that reference it are using a compatible version of zoo.