Does every paper in mathematics have Zbl and MR?
Your paper is MR 3628846.

MR and Zbmath don't index every paper in mathematics.  Each one has a list of specific journals that they index; these lists are extensive but not exhaustive.  New journals are sometimes added, and journals can be dropped if they cease publishing regularly or don't keep their quality up.  However, MathSciNet at least does index the journal where your paper appeared (I didn't check Zbmath).

Both services operate mainly by subscription (usually institutional subscriptions).  As you've found, they do offer limited searching to non-subscribers (e.g. the MR Lookup service) but it is, well, limited, and it is not unusual to have trouble finding a paper through the free searches.  The full subscription version offers much more powerful searching.  In this case, however, when I pasted the paper's title into the "title" field of MR Lookup, it returned the paper right away, so I am not sure why you were having trouble.