Sheik
Zelgadis thinks he's a bit of a creeper, honestly. He sort of showed up full of advice without really knowing the situation. But that's not to say he dislikes the guy, just wasn't terribly pinged to know more by their first encounter.
Shipping strength: Don't think so, but if they actually talked more, it's not entirely impossible from what I know about Sheik. Mission oriented and protective from the shadows are traits Zelgadis can relate to.