I engraved on a gunmetal finished Zippo once… https://goo.gl/photos/RQ6dkmyPG3dJ7Uvr9
And straight steel without Cermark with a 60w: https://goo.gl/photos/3n2XihA5sx6KYtEE6
It can be done, albeit slowly.
[Edited to update links to non-blocked Google ones.]
And don’t forget to only engrave on unused Zippos! Lighter fluid can catch fire, and leaves a residue even if “cleaned.”