There is no built-in batch-printing functionality.
Web pages don't lend themselves well to printing themselves multiple pages in a row with precise layout formatting, which is one reason why this is not built-in.
I think someone did something like batch-convert-to-pdf which you could then print. Called "PDF Order Center". But, if I recall correctly, the code is old and not compatible with the current version of Zen Cart. You could try it if you dare. I recommend testing it on a COPY of your site, and NOT directly on the LIVE site, until you're happy with it.