Theremin mode on the HSK has some special features including the ability to quantize the notes played by the ribbon strip — to restrict the key and scale played. This quantization is in addition to, and completely separate from the quantization applied to the keyboard. (The HSD can quantize the pads too.)
So on the HSK you can set up two different scale and key quantizations between the keyboard and the theremin ribbon strip, and set up some interesting bitonalities — like picking one of the pentatonic scales, or a blues scale, or set up whatever selection with a custom scale. (By the way the arpeggiator can chord through these key and scale restrictions too, in arpeggiator chord or phrase modes. Be aware there is an additional function “Chord” only available on the HSK, that plays chords in reaction to single keyboard key being pressed, and these also get processed by the key and scale restrictions you have made.)
Selection of a key and scale for an auxiliary ribbon strip, like the Zorx, would need to happen, in probably one of two ways. You could add a CV scale quantizer, there are lots of different ones in Eurorack, that change CV voltages to match preset scales and keys. The other means would be to output MIDI from the external ribbon strip, i think you’ll need an external converter, again likely in Eurorack, with the Zorx, to convert CV to MIDI note-on / note-off. But the good side of this would be that the key and scale selections you make to the voice on the HSD get applied to the MIDI in. You would not get bitonality with this though,
The external CV is a very nice feature on the Hydrasynth.