They are relatively uncommon, but the place doesn't matter much. It would have just as much of a chance of spawning down there as it would on the surface.
When you hit a zombified piglin in the nether, the "call for backup" mechanic they have (zombies have this, which they share with them) results in a chance in spawning some additional zombies nearby. This needs addressed in my opinion (if zombified piglins are going to share this machanic, that is fine, but it needs to spawn more zombified piglins, not regular zombies). I've found these zombies on chickens in even the nether as a result. I've also seen zombified piglins this way though.
That would have been in 1.16 so maybe it is different now but I think I've noticed zombified piglins still resulting in zombies spawning in the nether in the latest versions.
Since when do chicken jockey chickens have zombie skins? Cooooool.
But yeah jockeys are not even that rare. You'll run into one in the nether if you mess around with piglins a few hours. In the overworld you would probably need a spawner or frequent village sieges to catch one live.
They're basically free chickens once you get two of them, so I like to nametag them in the nether and then feed them nether wart inside a stone-wall fence to start a chicken coop.