Only very indirectly, and to see a relationship you need to look not just back to Proto-Indo-European but to conjectural early forms of PIE roots.

First, be aware that the -eus similarity is purely cosmetic. It has no bearing on this. With languages like these, the most important forms for finding links are ones called oblique forms - much more important than the versions of the words/names that you see in English. The relevant oblique forms are, for "deus", de-; and for "Zeus", Di-. The second one is obviously pretty striking: "Zeus" is what you call him if he's the subject of a verb, but his name was totally different in other situations: for example, "Zeus's" was Dios. (If the difference between z- and d- looks incomprehensible, it may help to know that the letter zeta in early Greek was pronounced sd, or occasionally, ds.)

"Zeus" is the easier of the two. The earliest attested Greek form is Diw- (in Mycenaean). This comes from a PIE root *diēu- meaning "god, day, sky", and it has cognates in Sanskrit dyáuḥ, Hittite šīu̯-, and most familiarly, the Latin word dies "day" and the Iu- part of Iuppiter (Jupiter).

Latin deus comes from a Proto-Italic form *deiw-, *dēw-; that in turn comes from a Proto-Indo-European form *dei-u-o- "god". That root appears in Sanskrit as devá-, and it has another reflex in Latin, divus, which is where we get the English word "divine".

PIE *diēu- "god, day, sky" and *deiuo- "god" almost certainly are related. Current suspicion is that both of these go back to an old PIE (arguably even pre-IE) thematic root with a hysterokinetic u-stem which would explain the metathesis and the different quantities in the two roots.

So there kinda is a relationship, but you might need to go back 10,000 years or so to find the link.

I have a sneaking suspicion this isn't the kind of link you were looking for.

---

Edit: tidied up a few details