Think of it as a voltage clamp (shunt regulator). As you gradually increase the voltage applied to a Zener (positive to the Cathode, negative to the anode), you reach a level (knee) where a slight increase in voltage causes a large increase in current. That is the Zener voltage that it is rated for. To create a shunt regulator, you also need to have a resistor between the cathode and the positive side of the unregulated voltage source.
Notice that no current flows through the Zener while the input voltage V(unreg) is between ~-0.5 and ~9.5V. For negative input voltages, the zener acts like a normal Silicon Diode. For positive input voltages, the Zener clamps the voltage at ~10V.