There's (unfortunately) nothing set in the core-code. You could try an alternate path: create an init_include or (kind of cheating) an extra_functions file.

If you go down the "proper" init_include route, you'll need to create an auto-loader for that file (/includes/auto_loaders/config.your_special_name.php) that (er) loads the initialization file (/includes/init_includes/your_special_name.php. You get to choose when it's loaded (code-point 200 is after all the Zen Cart core is loaded).

If you go down the simpler extra_function route, all you need to create is the extra_functions php file. All the .php files present in /includes/functions/extra_functions are loaded prior to loading the header_php.php file for the active page (so, prior to headers being written). The limitation is that the extra_functions are loaded fairly early in the page-rendering process and you don't have control over when the file is loaded.