Do any rotary encoders allow zero idle current
Yes! It's possible for mechanical encoders with detents. It's going to limit you to a fairly low number of steps per revolution because the mechanical tolerances get troublesome.

Consider this CUI part (photo from Digikey): 



The detents are such that the encoder outputs are guaranteed to be 'open' at the detent positions, so your pullups will draw no power (the vertical dashed lines indicate possible detent positions).