Blue Exorcist apparently has zombies, but we've never seen them on screen. We have seen ghouls (face in the bottom panel here, full body in the page here) which are demons which possess corpses. We've also seen Naberius, which are artificial demons that the demon-fighting people used to make by (magically?) sewing ghouls together to make monsters to fight other demons in ancient times (though someone eventually realized that was a Bad Idea and so it became a forbidden technique in modern times).

However, the official bios for both species state quite clearly that zombies are a different thing. Given that Blue Exorcist is actually remarkably close to the source material for things a lot of the time, I suspect Blue Exorcist zombies are closer to the original voodoun meaning than the modern one.

/words