If you use the zonal DNS name, you're talking to that zone. From the docs:
Choose a subnet in your VPC to use the interface endpoint. We create an endpoint network interface in the subnet. An endpoint network interface is assigned a private IP address from the IP address range of your subnet, and keeps this IP address until the interface endpoint is deleted. You can specify more than one subnet in different Availability Zones (as supported by the service) to help ensure that your interface endpoint is resilient to Availability Zone failures. In that case, we create an endpoint network interface in each subnet that you specify.
So if you have an instance running in e.g. us-east-1a, tell it to use the east-1a endpoint and all comms will be within the AZ. You should be able to vary the DNS name by using environment variables in your code, mappings in your CloudFormation, or Parameter Store lookups. Bear in mind this won't be resilient to failure.
Unless you're doing HPC things that require extremely low latency, or transferring massive amounts of data across zones, I'd just use the regional (e.g. us-east-1) name. My expectation would be it will use something sensible.
You might be able to verify by doing some host REGIONALDNS
and checking what IP it gives you back, and comparing with the zonal result.