To make it work, you'll need to use an Ethernet adapter from a third-party source. This adapter connects to the LAN cable on the one side and your Roku's micro-USB or USB-A port on the other side ...

He couldn’t bear to disturb the small dimensions of the Pi Zero by using the USB On-the-Go (OTG). The OTG is needed to convert the micro-USB connector on the board to a full USB-A connector.