Zooming to selected features from multiple layers using QGIS

As far as I know there is no any option in menus, but you can zoom to features which are selected in multiple layers using Python.

Run the following script in QGIS Python Editor.

layers = QgsProject.instance().mapLayers().values()

extent = QgsRectangle()

for layer in layers:
    extent.combineExtentWith(layer.boundingBoxOfSelected())
    
iface.mapCanvas().setExtent(extent)
iface.mapCanvas().refresh()