There are "slingshot" adapters for plugging a Zorro II card into the A500's expanionsion slot (yes, it's very close to Z2).
If you're planning to use a CF card, an IDE adapter will be simpler & less expensive overall (since the CF interface is nothing else than IDE, requiring only a simple, passive adapter).
OTOH, "the best upgrade for a 500 is a 1200" might also be a good idea...