I believe there are a few different options - you can choose depending on the age group of the children and your time constraints. The Bear Mountain Trailside Museum and Park maybe the closest, even though it is a drive across the bridge. The zoo here houses animals native to New York state.
There is the Beardsley Zoo in Bridgeport, Connecticut and it draws positive reviews as a small zoo that is perfect for younger kids to spend an enjoyable day without getting overly tired.
Then there is the world famous Bronx Zoo which is a little over an hour away. This is a zoo with an extensive number of animals and I find that it is easy to spend the whole day and still not be done with visiting all the sections!
The Bergen County Zoo in Van Saun Park in Paramus is also a possibility for those looking for a shorter drive. Among the animals housed here are the Andean Condor and the Spider Monkeys; Mountain Lion and Bobcat.