The documentation should say what firewall rules apply when an interface is assigned to the zone "No zone assigned".

The following discussions and my own observations suggest that currently the behaviour is the same as if the interface is assigned to the zone "External Zone":

https://forums.opensuse.org/showthread.php/518486-In-Yast-no-zone-assigned-to-interface-in-firewall-which-firewall-rules-apply

bug #931152

The above forum discussion shows that some users wrongly assume that the "No zone" is always closed, allowing only outgoing connections. If this zone is then used for the public network and the external zone for a more secure but still not fully trusted network, this opens up security issues.