The 10th seeded Indo-Chinese pair, which came into the US Open with New Haven title, lost 2-6 2-6 in an hour and five minutes to the Australian eight seeds.
Sania and Zheng struggled to hold their serves as they were broken thrice in both the sets.
Sania had bowed out of the mixed doubles with Romanian partner Horia Tecau. They had lost to American Liezel Huber and Marcelo Melo of Brazil.
None of the three Indians could clear the first round hurdle in the mixed doubles first round. Rohan Bopanna lost his opening round with Germany's Julia Goerges while Mahesh Bhupathi and comeback girl Martina Hingis also had similar disappointment.
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