Zener failure
Usually harmonics on the mains is the cause for the overload failure of the zener used in such power supplies.
Usually it is the 5th and 7th harmonic which carries the bulk of the energy among all the harmonics. But it depends on the environment your supply is in.
If you have access to a spice-tool, try simulate the circuit with and without harmonics and you will see the change in power which the zener must absorb. The extra energy provided by the harmonics can be quite large!
Cheers
/Ghydda