Why does current flow through 1M resistor in this case?
It's my understanding that electricity tries to follow the path of least resistance.

This is an oversimplification.
(DC) Current goes through every path available to it, in proportion to the conductance of that path. And conductance is just the flip side of resistance
$$ G = \frac{1}{R}$$

If the voltage/current is high enough it will overcome the zener diode and flow through that path. Why would any electricity ever take the 1Mohm path if that path provides such high resistance?

Ohm's law says, for a resistor
$$I=\frac{V}{R}$$
If you apply 5 V across a 1 megohm resistor, 5 microamps will flow through it.
If you apply 30 V across a 1 megohm resistor, 30 microamps will flow through it.
If it didn't behave that way, we wouldn't call it a resistor.