Bandwidth or Throughput of wire wrap?
The LT1011 has 6pF of input capacitance. Zener diodes have a very high capacitance, avalanche diodes ('Zeners' of more than about 6V) much less so , but a 10V zener is still probably 20-30pF. So you've got maybe 30pF before you even start. That will cause the noise to roll off in frequency, depending on the current you are putting into the Zener.

The LT1011 will respond at maybe 2MHz if it is seeing maybe 0.5mV beyond the threshold. 



You can measure your noise signal with a wideband oscilloscope and see what that signal from the Zener looks like- a passive 10x probe will load it a bit, but probably not off by more than 2:1. 

Bottom line, I doubt construction technique makes much difference, within reason. I don't think you're going to be getting much beyond a MHz out of of the setup. If you are using a &lt; 5V Zener diode and a moderate current, you may not even reach the high end of audio.