How do I create a Zen's sub-theme using Drush?
Reading How to build your own sub-theme (7.x-5.x) using Drush, I get that the commands should be the following ones.

drush dl zen
drush en zen
drush cc all
drush zen "Name" machine_name --description="Description." --without-rtl


In order, the commands:


Download the Zen theme
Enable it
Clear the cache
Create the sub-theme
The reason of the second command is explained in the linked page.



  Ensure drush knows about the zen command
  
  After you have downloaded Zen and placed it in your sites/all/themes directory, you need to enable the Zen theme and clear Drupal's (and Drush's) cache so that it will notice the Zen drush command. Type drush en zen followed by drush cc all.


As for running Drush on the remote server or in the local server, see this answer from one of the Drush maintainers for How to use Drush in remote server?


  It is possible to use Drush with a Drupal site that is running on a remote server that does not have Drush installed.  This is possible because the Drush commands drush rsync and drush sql-sync work by composing ssh commands; if you set up your site alias configuration carefully, then you can copy your site to a local machine to operate on it.
  
  In order for sql-sync to work without Drush on the remote system, you must define the 'databases' and '%dump-dir' variables in your site alias.  Otherwise, Drush will try to use Drush on the remote system to look up these values.  See example.aliases.drushrc.php for more information.
  
  Note that it is really useful to be able to at least run drush updatedb on the remote server, so that you can update your database after you rsync new code over. Of course you can do this through the GUI too, but Drush is faster.  The Resources page on drush.org lists some hosting providers that are Drush-friendly.


Keep in mind that you could create the theme on your local site, and then copy the files over the remote site, or in a git repository that you then use when deploying your server.