Hi Nasar,
Jira & Zephyr are separate systems that are linked only by Issues. You can export details of Issue data (Jira) and Test data (Zephyr) in their own systems, but you can't get the same level of detail for both systems in one export from either system, because for example, Jira only sees Issues that are linked to Zephyr (and can't access the Zephyr data) - this is how I think of it in my mind at least.
The best compromise I can currently think of is to run a Zephyr report like Test Execution Results (list), and export that to CSV - you should be able to do this by clicking the export button in the top right-hand corner of a report. The report will have the Zephyr detail and should also include Jira Issue numbers, but I don't think much more than that.
Another potential solution I've not tried is to use the Jira & Zephyr APIs to independently get the data you need, but that could be quite a bit of effort in setting up.