Extract .zip directly to external hard drive
Terminal (Hackers way)

Open the Terminal.app  (Hidden in Applications -> Utilities -> Terminal) and Navigate with cd to your Folder where the zip file is stored. 

Example:

cd ~/Desktop/


And extract the ZIP file with the OSX command line tool unzip

unzip /path/to/the/archive.zip -d /Volumes/USB_Drive/


the -d switch let you set the extraction Archive - the second path is your external HDD - you may have to change the name USB_Drive (Tipp: Type /Volumes/ and the hit the Tab-Key twice to see all Volumes. 

Software

Keka

I know the Software Kea.app where you can specify in the Setting a custom folder for the extracted folders. 

StuffitExpander

Also StuffitExpander will let you choose for every extraction the location in a Finder Window

I hope it helps - and happy extracting