Looks like others in the past have had this same issue...

I tried this

http://www.zen-cart.com/forum/showthread.php?t=65454

" In Config-> My Store,

I have "Basis of Product Tax" set to "STORE" and it calculates on pick ups at the rate where *the store is*.

For the tax zone on the shipping module you have here, I'd say to calculate on Store Zone IF the shipping/billing zone equals the store zone. That way, whichever address is in CT and it is a store pick-up, the tax should calculate. It works in mine and I have it set up this way.

Hope this helps what you want to do."

But no dice.