Tickets are for a route, not a train. That is the concept you need to keep in mind.
That the Bernina Express does not start in Zurich is immaterial. You can just buy a ticket Zurich - Tirano, and add a reservation for the Bernina Express Chur - Tirano to that.
In Switzerland for a trip from A to B you only ever need one ticket, and it does not matter how many trains, busses, trams, cable cars, boats or even a helicopter you need to take to get from A to B.