Keys started the year in superb fashion, beating two-time defending champion Aryna Sabalenka in Melbourne to win a first Grand Slam title.
But after reaching the quarter-finals of the French Open, the 30-year-old suffered a surprise third-round Wimbledon exit to 37-year-old Laura Siegemund.
In New York, Keys made 37 unforced errors in the first set alone but managed to take it on a tie-break after Zarazua spurned five set points.
The match looked there for the taking for Keys as she breezed to a 3-0 lead in the next set, but the 2017 runner-up in New York then lost four games in a row.
She managed to take the set to a tie-break but double faults and errors helped Zarazua force a decider.
Keys’ coach and husband Bjorn Fratangelo offered advice and encouragement throughout – at one point saying: “It’s just a sport, nothing’s riding on the line” – but the American’s play remained erratic.
“I want to win, but [I was] just feeling like winning matters way too much. I just couldn’t quite separate myself from that,” Keys added.
“Once you start playing badly, it just kind of all snowballs.
“I felt like I was just slow, I wasn’t seeing things the way that I wanted to, which I feel like resulted in a lot of bad decisions and lazy footwork.”
Zarazua secured her first victory against a top-10 player when Keys netted on match point, sparking wild celebrations among the Mexican’s support team after a contest lasting three hours and 10 minutes.
