Zoglins do not float nor drown in lava and water. I experienced this in creative while testing out the Zoglins hostility toward nether mobs and upon noticing a Strider, the Zoglin followed it but began moving down instead of staying afloat on the lava. This also occurs with regular water, in which Zoglins do not begin to drown after an extended time underwater, nor do they move up to the surface.