You might be better off taking the train from Madrid to Zaragoza: it is less than 2 hours (high speed train) and services are frequent (roughly every hour or two hours depending the time of day) . Prices oneway are 43 Euros in tourist class, and 65 Euros in first.

If you definitely want to fly, whether you can combine IB ZAZ-MAD to a *A international itinerary will depend on the kind of fare you are on. On a full fare, this should not be a problem. On restricted fares, you have to look at the detailed conditions whether they allow an end-on-end with a non *A carrier.