The masked outlaw Zero is a spoof of the fictional masked vigilante, Zorro (first appearing in Johnston McCulley's 1919 novel, "The Curse of Capistrano", and popularized in the films The Mark of Zorro (1920) and The Mark of Zorro (1940), and the television series Zorro (1957)). Zorro and Zero both dress in black and wear masks over their eyes. Each leaves a trademark: Zorro's three-slash "Z", and Zero's "O" mark, left by a branding iron. While Zero terrorizes the Mexican town of Mucha Loma, Zorro was a hero to the people of Spanish California.
When Rocky suggests Bullwinkle put on a costume to trap Zero, Bullwinkle says, "Like the man in the five and dime said, if I am dressed like a moose, why on the name of Rudolf Hess do I--?" Rudolf Hess was a leading Nazi in Germany who served as Adolf Hitler's Deputy Führer. In 1941, in a curious passage from WWII history, Hess, wary of the prospect of a two-front war (with Hitler planning to invade Russia), secretly flew to Scotland in hopes of brokering a mutually-beneficial peace with the United Kingdom. After bailing out of his plane, Hess (posing as a Luftwaffe captain) was immediately captured and was held prisoner in Great Britain for the remainder of the war. He stood trial at Nuremberg in 1946, and spent the rest of his life in prison.
When Bullwinkle hears that he and Rocky have been charged with jaywalking, and he blithely corrects the judge, "That's Jay Warding", he's giving a sideways nod to his creator, producer Jay Ward (1920-1989).