I had the same problem, you need to go to the url zerigo settings of
your app, for example: https://zerigo-dashboard.heroku.com/apps/%
nameofyourappheroku% an click "Configure" in the DNS menu click "Add
snippet" and select "Heroku" to finish click the button "Add select
After CNAME edit and put the URL of your site on heroku, example
This will take a few minutes.