Good question! The physical game requirement is related to itch categories. It's to distinguish between video games and tabletop games.
So, if you made a perzine, you would just need to submit your itch project for the zine (with PDF or something on your itch page) to the jam.
There's no need to print it unless you want to. I would love to see files that are ready for DIY printing and assembly, but it's not required