In the comic books, Baron Zemo assembles the Thunderbolts when The Avengers go missing. However, while his team is secretly a group of supervillains masquerading as heroes, they eventually decided to put their evildoing ways behind them and became heroes.
There have been other iterations of the group, but Marvel Studios' Thunderbolts* is very much its own thing. That's evident from the absence of Daniel Brühl's Baron Zemo, the Captain America: Civil War villain who was brought more in line with his comic book counterpart in The Falcon and The Winter Soldier.
It turns out that in an earlier draft of Thunderbolts*, Zemo was going to be revealed as the one pulling the strings in a post-credits scene. Talking to Screen Rant, writer Eric Pearson explained how the villain once factored into the story.
"I think there was a version of a tag written a long time ago, kind of revealing who's behind it all. It was revealed that Baron Zemo was pulling some strings from prison or whatever. I might be just inventing things now, but I feel like there might've been a version where a tag where Zemo had broken out and swapped places with someone - maybe Valentina's assistant - and he was working with a Widow mask under."
"But I think those ideas lived for one iteration and then died. Sometimes people think that we're zagging on purpose, and it's like, 'No, we know that Zemo is very integral to a different story version of them.' He's part of putting them together, and we negated the need for that with our very premise."
"But we always think back to the comics. There's always the discussion of, 'Well, if there's a way to cleverly include Baron Zemo in this, he absolutely should be there.' But in this story that we wanted to tell and that we fell in love with, Yelena was central, and all of these people find their way through Yelena. And then we were introducing Bob as well, so he just didn't fit. We didn't want to just have a feathered fish."
Had Mel been swapped out for a male assistant who Zemo was posing as, then yes, a stinger could have quite easily revealed that he'd been pushing Val in certain directions to benefit his master plan.
The question is, what would Zemo have been plotting and when and where would his story have continued? Thunderbolts* establishes the team as the MCU's New Avengers, but there's nothing to say these heroes will get their own movie beyond assembling in Avengers: Doomsday next year.
As for Zemo, it seems the door is still open for his story to continue, though he remains locked up in The Raft...where he can potentially spend time getting to know another character with ties to the Thunderbolts: Red Hulk!
Thunderbolts* is now playing in theaters.