Lying to my mind is commiting yourself to an intentionally deceptive stance. Be it saying you'll do something, then doing something else, or be it projecting an image of yourself that isn't the case. We lie to ourselves all the time.
I will concede Zhodani may, on average, have more of a reticence to lie than other humans. For the average Zhodani prole. I think this is less true of the upper echelons. It is even less true of those who deal around the fringes of Zho space and know that others lie to them. They may not lie much, but they'll be aware of it and have to develop a certain comfort with it. And for Zho agents and such, they are probably conditioned *into* being utterly believable liars.
The upper level Zhos are cereberal. They probably appreciate 'the great game of nations' and the kind of tactics they use to stall the encroachments of the 3I have a *lot* to do with lying, bluffing, fighting a war for one reason while letting on it is for another, saying one thing and doing another.
The kinds of Zhos you are likely to meet are those who live near humans or have fought them. They'll have more of an understanding and comfort level with lying than other Zhos further into the Consulate.
Note: I dislike lying a lot. In 90% of scenarios, it just makes things worse. However, sometimes, it is actually a kindness and results in harm reduction. The trick of maturity is to know exactly when this is the case and temper each use of this tool with careful thought. Generally, the truth is the best policy. Sometimes, it is an incredibly damaging policy to no good end.
I don't see anything about Zhodani history that suggests they do not enjoy bluffing. Or at least, that they are incapable of it. Their military planners certainly did and their intelligence and diplomatic corps sure did. Unless, of course, we think all the Zhos in the consulate would have been really peeved to find out how the war was fought on their behalf?
I don't think Zhos are white knights who have no vices. I believe they do have an inherently less deceptive culture and cultural conditioning to make that so. At the same time, the Thought Police and others engage in what amounts to a lot of lying regulary. So not all Zhos operate on that wavelength of honesty.
Their kind of games may involve minor plays of telekinesis. Some sort of 'tussle' for the outcome of a rolling ball (sort of like roulette, but with psionic zhos pushing the ball around). Of course, for proles, games would probably involve straightforward competitions like dice. They might not like cards due to the dishonesty, but dice are just odds and probability and luck. Nothing dishonest there.