No, Michael J Fox never played Zorro. However, on the episode of Family Guy Season 6, Episode 12 called Long John Peter, Fox stars in a remake of Zorro.
It was a reference to the fact Michael J. Fox suffers from Parkinson's Disease and obviously couldn't make Zorro's trademark 'Z'. It should also be noted that "zorro" is Spanish for "fox."
Some viewers have slammed the program for putting on a joke that's just wasn't even close to funny at all.
To see a comprehensive list of Michael J, Fox's filmography, see his IMDb page.
And here are the actors who have portrayed the original Zorro (Diego De la Vega) in both movie & TV productions.