We have canon proof that Y’shtola wished to be a magical girl in her youth, with her summoning ritual, while Zero could perfectly fit the role of tortured bishie prince.

Something in the style of Cardcaptor Sakura or Sailor Moon, where friendship is the key and the power of love conqeurs all! would be very fun. Zero the Heartless Prince not knowing what love is and having to be taught about it by the Black Cat Princess resulting in the kind of shenanigans that Magical Girl Anime is famous for.

(And then, well this is the kink meme. The power of love leads to fucking)