He resigned as minister in 1939 to join the
French Army on the outbreak of the Second World War, serving as a second lieutenant attached to the headquarters of the
Fourth Army. He remained a député until 1942, and he was given leave to attend the last session of the French Parliament, held in
Bordeaux in June 1940. After the
invasion of France by Nazi Germany in 1940, he was one of the passengers aboard the vessel
Le Massilia that left from Bordeaux bound for Casablanca on 21 June 1940, with the intention of forming a resistance government in North Africa. He was arrested in August 1940, for desertion, and returned to France where he was held at the military prison in
Clermont-Ferrand. A press campaign, organised by
Philippe Henriot, the minister of information in the
Vichy government, called for his execution for being "Jewish, freemason and member of the Radical Party", and pointing to his anti-war poem of March 1924,
Le Drapeau (The Flag), as evidence of his lack of patriotism. In October 1940, Zay was put on trial by the
Vichy regime at the
courthouse in Clermont-Ferrand for desertion after he boarded the liner
SS Massilia for
Casablanca in Morocco to continue the fight against the Nazis. He was sentenced to deportation. Held in Marseille, his sentence was commuted to one of internment in France, and he was held in the prison in
Riom, sharing a cell with Rabbi
Edward Gourévitch. He was allowed to communicate with friends and family, and did not attempt to escape. He was removed from the prison by three
miliciens on 20 June 1944, Henri Millou, Charles Develle and Pierre Cordier, purportedly so he could be transferred to
Melun. They murdered him in a wood near an abandoned quarry, at a place called
Les Malavaux in the
faille du Puits du diable, at
Molles in
Allier. ==Post-war rehabilitation==