Does the zombie lord from haunt 21 take damage from a sanity roll?
Yes, it would take damage.

Normally, you cannot damage a monster unless the specific rules for the haunt say otherwise). Under the normal rules:


  If a monster suffers
  any damage, it is stunned and misses its next turn.


However, the Haunt 21 rules makes an exception to this, it says that while holding the Medallion, you can damage the Zombie Lord. It does not specify anything about physical vs mental damage; so it will just be damage either way.

From the traitor's rulebook:


  The Zombie Lord can be damaged only by
  an explorer holding the Medallion. Instead
  of being stunned, you can take 7 points of
  damage before you are killed. Use the
  Turn/Damage Track to record damage.
  Damage does not reduce your traits.