I poked a bit more around the net in regards to this. I found these on various websites. No solid studies or science, but interesting nonetheless:
Vitamin B6:
It is a co-enzyme, which participates in over 60 enzymatic reactions involved in the metabolism of amino acids. It is involved in the production of several body proteins and neurotransmitters. It is particularly indispensable to the action
of amino acid neurotransmitters, like Serotonin, Dopamine, Melatonin, and Norepinephrine, which effect brain function. It is also involved in the metabolism of Selenium, Calcium, and Magnesium.
...The amino acid Tryptophan can be metabolized into Serotonin and Niacin (B-3). Vitamin B-6 promotes this conversion...
Zinc is in every cell of the body and is a part of over 200 enzymes, so zinc supplements may increase REM-sleep, too.
So, I stand corrected. There's more to the deep sleep of ZMA than just the Mg.