All except Chester Arthur had citizen fathers. Arhur was never a Presidential candidate, but became President when the elected President was assasinated. Although it was not known until well after Arthur's death, his father was not a citizen at the time of his birth., although unlike BHO's father his did become naturalized, when he, Chester, was 14.
It spells out the law regarding citizenship. (Apparently that's current law, you'd have to go back to some reference to see what the law was at the time of Zer0's hatching.)
I have never seen ANYTHING that stipulates in LAW that the father must be a citizen at the time of birth to establish "Natural Born Citizenship" status.