Hello
A packet filtering firewall will not be able to show you this and Zentyal will not be an exception to this. lease keep in mind that Zentyal firewall just see's packages headers with src IP dst IP protocol and port. WIth this data, some cases you might figure out the website, but in other cases (shared hosting) an IP address may be serving lots of different domains.
If you want so you should install the HTTP proxy module and configure as non-transparent (if y ou care for HTTPS traffic)