It looks like those from Debian wouldn’t recommend using apt-key add, as they now recommend adding a key to /etc/apt/trusted.gpg.d instead (see man apt-key). To do this for Zulu, you can use the following command (first line). I’ve added the command to add the zulu repository just for easy reference:
wget -q -O - http://repos.azulsystems.com/RPM-GPG-KEY-azulsystems | sudo tee /etc/apt/trusted.gpg.d/zulu.asc
echo 'deb http://repos.azulsystems.com/debian stable main' > /etc/apt/sources.list.d/zulu.list
As a result, you shouldn’t need to install dirmngr.