I found the problem!
The mini DVM voltimeter module was "loading" the circuit.
Without it the yellow led turns ON and the voltage at the test terminals, measured with my Fluke 87 DMM reads 95V.
The input resistance of the module measured 35 kOhm, so this module is unable to supply the 3mA that would be drawn when the test voltage is 95V.
I will try the 555 circuit that I have attached since I would like to have a "standalone instrument" (no need to read the zener voltage with a DMM).
Thank you all for the support.