Once again, Zephrys is not designed to give you an out for every option on the board, nor is it designed to always give you lethal. You have to actually do some of the work yourself rather than expecting the AI to play the game for you. Zephrys chooses from a large pool of cards to give you an answer to something / anything that is currently on the board. Since Ragnaros can't attack, it makes sense that Zephrys doesn't give you the option you specifically wanted there, because there were more immediate threats on the board to deal with (such as the 5/5 taunt). By being played, Zephrys has already given a means of soft-dealing with Ragnaros by being another target.
If you wanted Shadow Word: Death, then yuo needed to force that from Zephrys by making sure you have 3 mana left open when he is played. There are plenty of streamer videos that go over how to play Zephrys properly on YouTube.
u really believe in that? Most of time this shit card offer lethal and mass destruction against me. Edit: Many other players are being crushed by this shit design, so I guess zephrys still broken even if the op didn't got any good card in his replay.