This is a Group Policy that allows you to control Internet Explorer site zones list is called “Site to Zone Assignment List”. Keep in mind once you set these the user will be unable to modify the list of sites themselves.

Computer Configuration – Administrative Templates – Windows Components – Internet Explorer – Internet Control Panel – Security Page – Site to Zone Assignment List – Enabled

Site Zone Assignment GPO

Internet Explorer has 4 security zones, numbered 1-4. (1) Intranet Zone, (2) Trusted Sites, (3) Internet Zone, (4) Restricted sites. Enable this setting, add the sites and whichever zone they need to be in.

GPO Site Zone Assignment