As far as I know and heard, you really only need knowledge of C#. When you open the Zune Game template it has everything you need for the zune in the scripts already. If you open one up you will see all of the code in the Game1.cs file. To make your game, you add to it, or make new scripts.
I dont have much to any knowledge of C# yet, but I am slowly working on it. I am not 100% sure if you need to do anything with XNA at all, unless you want to make it a .ccgame file.
I made the simple "Hello World" script in C# using the Zune Game template, deployed it to my zune, and I had the "Hello World" message displayed on my zune.
A small start, but a start indeed.
If someone with more knowledge could confirm or correct me, that would be great.