BTW, addToSearchPath works (no need to create one). This doesn't seem to be consistent with putting resources in a zip folder. Am I not understanding something?
I think (someone correct me if I'm wrong...) that you need to call al_set_physfs_file_interface, load your bitmap into an ALLEGRO_FILE* with al_fopen and then load your bitmap using al_load_bitmap_f. I'm not sure that al_load_bitmap respects the use of PHYSFS.