You could use an anonymous function to provide a scope for the variable. From man zshall:
ANONYMOUS FUNCTIONS
If no name is given for a function, it is `anonymous' and is handled
specially. Either form of function definition may be used: a `()' with
no preceding name, or a `function' with an immediately following open
brace. The function is executed immediately at the point of definition
and is not stored for future use. The function name is set to
`(anon)'.
Arguments to the function may be specified as words following the clos‐
ing brace defining the function, hence if there are none no arguments
(other than $0) are set. This is a difference from the way other func‐
tions are parsed: normal function definitions may be followed by cer‐
tain keywords such as `else' or `fi', which will be treated as argu‐
ments to anonymous functions, so that a newline or semicolon is needed
to force keyword interpretation.
Note also that the argument list of any enclosing script or function is
hidden (as would be the case for any other function called at this
point).
Redirections may be applied to the anonymous function in the same man‐
ner as to a current-shell structure enclosed in braces. The main use
of anonymous functions is to provide a scope for local variables. This
is particularly convenient in start-up files as these do not provide
their own local variable scope.
For example,
variable=outside
function {
local variable=inside
print "I am $variable with arguments $*"
} this and that
print "I am $variable"
outputs the following:
I am inside with arguments this and that
I am outside
Note that function definitions with arguments that expand to nothing,
for example `name=; function $name { ... }', are not treated as anony‐
mous functions. Instead, they are treated as normal function defini‐
tions where the definition is silently discarded.
But apart from that - if you're not using export in your .zshrc at all, the variable should only be visible in your current interactive session, and it shouldn't be exported to subshells.
As terdon explained in his comment: export -n in bash just causes the "export" property to be removed from the variable, so using export -n GREP_OPTIONS=--color=always is equivalent to not using export at all - GREP_OPTIONS=--color=always.
In other words, to get the desired behavior, just don't use export. Instead, in your .zshrc, you should have
GREP_OPTIONS=--color=always
That will make the variable available to all (interactive, non-login) shells you run, just as you want it to be, but it won't be exported to child shells.
export -njust unexports an exported variable.