GCPs can be collected from two different zones in a two step process.

Set the georeference definition (e.g. "UTM 11 S E0") and collect the GCPs for that UTM zone. Save the GCPs to disk on the uncorrected image and exit GCPWorks.

Start GCPWorks again and set the georeference definition for the second adjacent zone (e.g. "UTM 12 S E0"). Load the GCPs collected from the first GCPWorks session. The GCPs will be reprojected from the georeferencing of the GCP segment ("UTM 11 S E0") to the georeferencing of the GCPWorks session ("UTM 12 S E0"). The GCPs from the adjacent UTM zone may then be added to the GCPs collected from the first GCPWorks session.