I just had the same issue. You need to go to the configuration page of zerigo and clic on configure next to the domain you have trouble. On Zerigo's site edit the CNAME record and change "proxy.heroku.com" to "yourapp.herokuapp.com". It should take a while to propagate.
You will see something like this:
$ host www.myapp.com
www.myapp.com is an alias for myapp.herokuapp.com.
myapp.herokuapp.com is an alias for us-east-1-a.route.herokuapp.com.
us-east-1-a.route.herokuapp.com is an alias for argon-stack-1879049447.us-east-1.elb.amazonaws.com.
argon-stack-1879049447.us-east-1.elb.amazonaws.com has address 50.19.83.99
argon-stack-1879049447.us-east-1.elb.amazonaws.com has address 54.225.177.29
argon-stack-1879049447.us-east-1.elb.amazonaws.com has address 23.23.214.121
argon-stack-1879049447.us-east-1.elb.amazonaws.com has address 54.225.170.60
argon-stack-1879049447.us-east-1.elb.amazonaws.com has address 184.73.160.229
argon-stack-1879049447.us-east-1.elb.amazonaws.com has address 23.23.245.47
argon-stack-1879049447.us-east-1.elb.amazonaws.com has address 23.21.166.91
argon-stack-1879049447.us-east-1.elb.amazonaws.com has address 184.73.213.30
This worked for me just now.