Why can't helicopters or Zeppelins drop fire-fighting material on burning buildings?
First, they have been used, like in case of the Federation tower fire in Moscow on 2012. The image below shows a Kamov Ka-32A11BC being used to fight fire in that case.



Helicopter fighting Federation Tower fire in Moscow; image from dailymail.co.uk

According to a news article


  The Ka-32A11BC proved its fire-fighting credentials in April 2012, when a blaze engulfed ... the 67th floor at the Federation Tower in Moscow, Russia, more than 270 meters above ground level. ... the fire was only contained after two Ka-32As belonging to the Russian Emergencies Ministry were called into action and ferried in water from the nearby Moscow River.


However, there are multiple issues in using helicopters for urban firefighting.


Helicopters are all but powerless is case of fires breaking out over the lower floors. Even in the above case, the helicopters were useful only as the fire broke out in the top floor of the (then under construction) skyscraper. For lower floors, the helicopter would have to carry the spraying equipment in the fuselage, which would make the useful payload impractical. Airships are all but useless in this case, while even helicopters would have difficulty getting through the buildings.
Firefighting using helicopters is not a precision business as it would be difficult to position the helicopters directly overhead due to the intense heat and the turbulence produced. For safety, the helicopters have to fly higher, which reduces efficiency due to winds.
Aerial firefighting is a costly business. As LA times puts it:


  It costs up to \$14,000 a day to keep an air tanker on call and as much as \$4,200 per hour to put it in the air. Heavy-duty helicopters, the workhorses of aerial firefighting, can cost \$32,000 a day on standby, plus \$6,300 per hour of flight time.


and this in the US where the need to put out forest fires is all but certain.  Major fires in skyscrapers are infrequent and too scattered around the world to justify the expense of keeping a helicopter on standby in any given city.
The crew have to trained for this- firefighting is a dangerous business:


  But unpredictable atmospheric conditions make flying over wildfires difficult and dangerous. Thirty-seven firefighters have died in aerial firefighting accidents in the last decade.


Urban environment with high rise buildings and power lines pose a separate set of challenges.
Water and firefighting slurry supplies have to made available- this is important in cases where for example, the rivers are seasonal. Not only is the normally used firefighting slurry costly, it is also not environment friendly.


  ... the slurry, which is rich in nitrogen, can harm fish, wildlife and watersheds, despite agency guidelines to prevent drops onto vulnerable areas.
  
  Aerial firefighting is expensive. Tankers cost upwards of \$6,000 per hour to operate. The slurry itself averages about \$2 per gallon, and the Forest Service used almost 9 million gallons of it last year. 



Airships have the same issues, and some more (payload and speed/maneuverability come into mind).