I would fear that the zytel would flex too much and the screws would eventually yank themselves out of the zytel's hold. Zytel makes great handle material despite its plastic flexy-ness, partially
because of it's flexy-ness. It's got a lot of bounce back, and can give quite a bit before giving too much, and bounce right back. However, in this case, I wouldn't expect it to hold up. Without the screws setting into a liner or metal on the other side, the zytel around the screws would soon stretch, warp, expand, etc and the screws wouldn't have the proper hold anymore.
Consider the Spyderco FRN knives, or the Benchmade Griptillian. On the BM, the screws anchor into steel liners. On Spydercos like the Delica/Endura, the clip retainer goes through entirely to the other side of the knife (reversable). On the Calypso Jr, the screws anchor into a steel insert nested in a molded space on the inside of the handle.
You could always try it of course, since even if what I predict might happen happens, the holes would only be cosmetic and not really impede the knife's function.
Perhaps a better option would be to have a sheath made; just a simple slip sheath, but with a pocket clip on the sheath (like what the
Kershaw Centrofante/Onion has).