Early on Nitori and Zero were actually getting quite close. Hell Zero even risked his own life to try and protect her against Dante. They became decent friends... or co-workers. Heck a sort of relationship could have started to form between them. Then after he was damaged severely, then got repaired she left for Gensokyo and even now that they are reunited they don't really interact with each other much... though that's probably because of the current situation at hand. They both know how dangerous the situation is, and as such they are in a busy mind set.