Teferi's Time Twist and Gideon's Sacrifice
That is incorrect and if you look at the rulings on the card in gatherer you will see that they have a ruling for this case that states that the damage will not be redirected.


  If the chosen creature or planeswalker isn’t on the battlefield or isn’t a creature or planeswalker at the time damage would be dealt, the damage won’t be redirected.


In the sequence of events both the zombie token and the Neheb, Dreadhorde Champion will die from damage in combat unless something else is done to save one of them.

This is based on 614.9 of the comprehensive rules


  614.9: Some effects replace damage dealt to one creature, planeswalker, or player with the same damage dealt to another creature, planeswalker, or player; such effects are called redirection effects. If either creature or planeswalker is no longer on the battlefield when the damage would be redirected, or is no longer a creature or planeswalker when the damage would be redirected, the effect does nothing. If damage would be redirected to or from a player who has left the game, the effect does nothing.