Are there any benefits to capturing live zombies?
No, you can't capture a zombie, chryssalid, or any of the robots (sectopod, drone, and cyberdisc) alive. Even if you close to Arc Thrower range, you won't be able to use it on them. (Well, the drones you can 'reprogram' using the arc thrower, with the right foundry project, but you can't "capture" them per se)
There's no interrogation of these types of enemies possible. If your soldier gets zombified, that's it - they're gone.