All right . . . 10 minutes later and I found a way to do it. I thought I'd answer my own question in case someone else is looking for a solution.
My workaround was to create another Filemaker Database with a single field. I imported all 42741 entrees into the database and THEN made a value list based on that field. My OTHER database now looks up THAT value list. I know I can do that in the one file but I don't want 43000 records in this database.
ANYWAY, if someone knows a better way to do this, keeping all the data within one file, that would be a big help.
You can keep the data all in one file if you define more than one table in the same file. One table can then be used to store your imported zip code info to serve as a value list data source for your solution.