AWS MSK: deploying all Kafka brokers in the same availability zone
I cannot back it up with links to the documentation, but my strong assumption is that it is not possible. AWS MSK forces cross availability-zone deployments. (In most cases, it is a good idea, anyway. I understand that the scenario in my question is not so common.)

The only option to stay in the same availability zone is to use only one broker. However, it is not recommended to run Kafka with a single broker. Therefore it is not an attractive option.