What you are describing *is* a voltage regulator. There are many flavors, from simple to complex, but variable-in -- stable-out is a regulation function.
If you stick with linear topologies, the regulator will dissipate at least (20 - 5) x 0.2 = 3 W somewhere. The problem with a simple resistor-zener circuit is the conflict between the resistor value needed at 20 Vin and the one needed at 6 Vin. If you start with 6 Vin and have about 10 mA static current through the zener to maintain regulation, then
R = (6 - 5) / 0.210 = 4.167 ohms
So far, no prob. But when the input jumps to 20 V, the current through the zener is
((20 - 5) / 4.167) - 0.2 A = 3.4 A
The power dissipated in the zener is 3.4 x 5 = 17 W.
The power dissipated in the resistor is (20 - 5) x 3.6 A = 54 W. Ouch.
This is why a 3-terminal regulator is so common in this application. It is essentially an automatically varying resistor that always is the perfect value for the input-output voltage differential.
ak