Whether the zener will burn out depends on the nature of the transients you expect on the supply rail, and the effective source impedance. Harsh transients like 'load dump' are very hard to protect against, if you need an economical, reasonably sized solution. Some people may say "don't care" about load dump, because of a statistically low likelihood (?), and just make sure that the device will fail safe if hit with a load dump surge (properly fused). Other transients can be reasonably suppressed with a medium sized TVS in an SMA or SMB package, e.g. 400-1000W rated range, without additional series impedance.
Yes, adding impedance will limit the zener/TVS current/dissipation. If your device has a low current draw, say <100mA, then a resistor may be suitable. You still need to mind peak power dissipation during transients, and may want to use a surge/pulse rated resistor if necessary. Add as much series resistance as you can reasonably tolerate.