The card returned to its owner’s hand may be the card they discard. If it’s the only card in that player’s hand, it must be discarded if you control a Zombie.

Compelling Deterrence checks to see if you control a Zombie after the target nonland permanent is returned to its owner’s hand. For example, if you target the only Zombie you control with Compelling Deterrence, you won’t discard a card.

If the target nonland permanent is an illegal target as Compelling Deterrence tries to resolve, it won’t resolve and none of its effects will happen. No player will discard a card.