A lot of people were asking and I was pretty impatient to know myself, so I checked if Zagreus has any dialogue about his love interests and found these!
If you brought Zorephet with the Aspect of Thanatos:
Zagreus: I happen to know the son of Nyx and incarnate of Death to whom that rather sinister scythe belongs. I could give it back to him if you like?
Melinoë: Thank you for the generous offer, but I have need of it right now. Besides, Nyx knows where to find me if her son ever needs it back. Are you and Thanatos quite close?
Zagreus: Oh you could say that. He used to aid in my attempts at breaking out of here, quite unlike Megaera the Fury, you'd like her. Anyway he wanted me to tell you cheers! Or rather, tell the Princess that she has my gratitude.
Melinoë: Tell him I'm grateful for the scythe!
If Melinoe is close with at least two of the following characters: Moros, Eris, Nemesis, Icarus:
Zagreus: How is it in those Crossroads, anyway? Do you have friends, more-than-friends, that sort of thing? Do tell.
Melinoë: Oh, I suppose so, yes. Some of each. It's peaceful there. And I can see the Moon and stars under a canopy of trees… it even rains every so often.
Zagreus: Mm, getting rained on. I've heard that's unpleasant but perhaps it's nice! You didn't really get to meet my friends or more-than-friends, though who knows? We have eternity. Unless we somehow manage to kill each other here first.
Note from a Zagreus enthusiast: In Hades I, Zagreus rarely uses the words "lover" and "love" in a romantic sense, especially when talking about his own relationships. Instead, he tends to use "suitor," which feels very… formal? adorably old-fashioned? 😂 Anyway, I like that he says "more-than-friends" to make things less awkward for his sister, and it also leaves room to interpret different forms of love with other characters.