I have written about this story previously and was wondering if anything new had been discovered. Turns out it has. According to Science Daily evidence of Zeus worship has been found dating back to the Late Helladic:
In mainland Greece there are very few if any Mycenaean mountain-top altars or shrines. This time period — 14th-13th centuries BC — is approximately the same time that documents inscribed with a syllabic script called Linear B (an archaic form of the Greek language) first mention Zeus as a deity receiving votive offerings. Linear B also provides a word for an ‘open fire altar’ that might describe this altar on Mt. Lykaion as well as a word for a sacred area, temenos, a term known from later historical sources. The shrine on Mt. Lykaion is characterized by simple arrangements: an open air altar and a nearby sacred area, or temenos, which appears to have had no temple or other architectural feature at any time at this site.
According to Science Daily this is pretty good evidence that the worship of Zeus originated in Arcadia (and I would have to agree).