can an ammeter damage zeners
THE VOLTAGES INVOLVED IN THIS SORT OF SYSTEM CAN EASILY KILL YOU.

ALL PARTS OF THE SYSTEM INCLUDING THE LOW VOLTAGE OUTPUT MUST BE REGARDED AS ALWAYS BEING AT MAINS POTENTIAL.

A converter of this type MUST have a load at ALL times.
If you remove the load voltages can rise to rectified mains - about 150 Volts DC in a 110 VAC system and 300 VDC in a 230 VAC system. If you do not design the system to always clamp the output at a low voltage in both directions and if you do not ensure that current flow is low - voltage and/or current may be high. Usually for long enough to destroy components and/or to kill you. 

If you do not know why it may have blown up then you clearly do not know enough to be using it safely. supplies like this can work well when designed properly with correctly rated parts. Many versions described on the internet are unsafe and liable to destroy themselves and kill you (or someone else). 

You MUST post your circuit diagram - on a web sit elsewhere if needed - or email to me if you cannot post it. (email address on my profile page).