Turn the oven on to grill with the rack about 6 inches/15 cm from the heat.
Arrange the berries in individual gratin dishes and set on a baking sheet.
Prepare the Sabayon: Put the egg yolks, sugar, and wine into a roomy glass bowl. Whisk to mix. Set the bowl over a saucepan partly-filled with hot, but not simmering, water. Don’t let the bottom of the bowl touch the water beneath. Whisk until the mixture is frothy, pale, and ribbony, 5 to 8 minutes.
Remove from the water. Whisk in the zest and keep whisking a minute or two to cool slightly. Spoon the sabayon over the berries and place under the grill until the sabayon is bubbly and golden, a minute or two. Transfer to plates and serve immediately.