Natur- and Tierpark Goldau in Switzerland is located in the foothils of the Alps, which is pretty a pretty stunning location. Similarly there is a Parc Animalier des Pyrenees in Argeles-Gazost, France, located in the foothills of the Pyrenees.
Zoo Zurich is the highest located main zoo in Europe at up to 600 meters above sea level. This is off course peanuts compared to e.g. the zoo of Johannesburg which is located at about 1700 meters above sea level, but cannot be said to be located in the mountains.