Your proposed answer:
ssh -n REMOTEHOST 'tar zcvf - DIRTOCOPY' | localZip.tar.gz
did not work for me - the pipe to a file failed.
I did this instead and it worked:
ssh -n REMOTEHOST 'tar zcvf - DIRTOCOPY' | cat - > localZip.tar.gz
Pipe it to 'cat' via standard input and redirect the output to the file.
another solution would be to remove the "| cat -" and just send the SSH output directly to the tarball:
ssh -n REMOTEHOST 'tar zcvf - DIRTOCOPY' > localZip.tar.gz