The term has migrated from Warez to computer security (cybersecurity today) describing the freshness of a vulnerability. I'm talking about vulnerability but often the term 0-day also includes having the exploit code for the vulnerability, allowing to compromise the software in question.
A so-called 0-day vulnerability is therefore a bug with a security scope (a flaw), discovered in software (3) and known only to the discoverer and to a limited circle of people or entities with whom he shared it (no, I'm not going to talk about bug collisions, that's another subject). In general, the software publisher is excluded from these knowledgeable people.
To make it very very simple: if there are no security patches, it is a 0-day.
When a security expert says "I have a WordPress 0-day", understand "I know (or someone gave me) a vulnerability and associated exploit code, affecting the WordPress software and not known to the vendor or known to the vendor but without a patch available at this time"
The details of the definition are debatable, but in general, once a security patch is released by the vendor, the vulnerability is no longer considered a 0-day but an n-day.
There is a 0-day market, with several buy/sell programs publishing their prices publicly like Zerodium (ex-Vupen), Exodus Intelligence... and also an n-days market with Exodus intelligence and others. There are of course several French companies that are specialized in this field, but not finding this information on their website, I prefer not to quote them 😉.