Use voltage regulator instead of zener to protect GPIO
Assuming you're trying to protect an input (the outside world connects to the LDO input).. it does not provide protection against input voltages below ground. Absolute maximum input voltage is -0.3V. 

It might work with a series Schottky diode, say for +/-30V inputs, but you'd have to evaluate whether the few hundred mV loss in voltage was acceptable for normal inputs (what your \$V_{IH}\$ is vs. \$V_{OH}\$) . I don't see where thermal protection would ever come into play, either as an input or as an output. If you exceed the 30V abs. max. input voltage, the part may fail. 

You're going to need something like a capacitor in series with a resistor loading the output to keep it from oscillating. That will slow down the response considerably (you may want to add a load resistor to ground as well) and the capacitor could conceivably damage the GPIO under some conditions without a series resistor (if Vdd gets crowbarred).  

Once you look at one diode, LDO, 3 resistors and a ceramic capacitor per input, it doesn't look quite as clean.