IIRC, 6.2 V Zeners are preferred for noise generation, as there exists a 'sweet spot" here between Zener and avalanche operation, which provides the most linear noise spectrum.
Your link is a bit strange, as an LM336 is used as "zener", which it is not (it's a bandgap reference). The LM336 is not known for being noisy, exactly the opposite, in fact. The circuit would probably operate just as well measuring the noise from a resistor...