The storm - a category one - is near the Vava'u islands, where gale force winds and heavy rain had already been recorded, although there were no initial reports of damage.
Forecasters said the centre of the storm would be about 50 kilometres south southwest of Neiafu Vava'u at 7 am.
Sakeasi Waibuta, a cyclone forecaster at the Fiji Meteorological Service said Zazu was expected to keep strengthening as it moved southeast.
"It's a very small system at the moment but by the looks of it, it will intensify to a category two cyclone from early Wednesday," he said.
