Incredibly difficult to find because Zarzuela doesn't exist anymore. Address for your GPS is: R. Bernardino Costa 21, 1200-052 Lisboa, Portugal.
Look for the restaurant Bali do Cais. This also isn't a bakery it's a restaurant with a small case of gluten free pastries.
Great place for gluten free options. Staff were really good and knew their stuff, and the food was decent. Being able to try gluten free pasteis' was a delight.