I'm unclear what's being asked. Zellij is just a TUI-based terminal multiplexer like tmux and screen, you either run it locally and SSH within it to a remote machine, or SSH to a remote machine and run Zellij from within the remote connection.
I guess they mean 'have zellij hold your session when you log off/close controlling terminal'. (that would require zellij on remote)
I guess they mean 'have zellij hold your session when you log off/close controlling terminal'. (that would require zellij on remote)