I don’t have a ZenXY but I do have LEDs on my LR3 and pen plotter, both using WLED. I’m still recovering from falling down that rabbit hole. 
WLED is super interesting. There are a bunch of controllers out there and are all ESP32 (or the older ESP8266) based. There are a stupid amount of options for what you can do with it. You can setup a bunch of different presets. If you have a controller with a microphone, some are even sound reactive. It serves a webpage that you can use to configure it. I usually configure through a nice Android app.
I have one of the pen/laser controllers that I’m using for an eggbot. So, since you’re using FluidNC…
For my LR3, I wrote a usermod for FluidNC that allows my WLED controller (QuinLED Dig2Go) to wirelessly connect to the Jackpot via telnet (leaving the websocket connection open for the WebUI or a wireless pendant). That is powered with 5v via USB using WS2812 LEDs. What my usermod does is it changes the preset based on the FluidNC state (Idle, Run, Alarm, Home, etc). The LEDs run under the gantry and it is setup so that it overlays white LEDs at the position where the router is.
My pen plotter is using a different controller (QuinLED Dig-Uno). I don’t have my custom WLED firmware on that. I just run it independently. This is running 24v WS2814 RGBW LEDs.
I will note that I have one of these remote controls that are setup with the WLED controller. I can use it to turn the lights on and off, change brightness, and pick between 4 presets.
I have not done this yet but I have been pondering updating my WLED usermod to support reading a variable set to a preset number. So, it would allow you to put gcode in your file like #<_wledPreset>=4 and it would change to that preset. That would allow you to use specific presets for specific files, or even change it throughout the file. Another idea I have is to support the LEDs being able to work like a progress bar. I’m not sure how useful either of these actually are.
If you do want to checkout WLED, you should also check out Ryan’s post on using it with the Jackpot. It shows how to hook up an ESP32 and configure the ability to switch between 3 presets using gcode. You should be able to do something like that with the pen/laser controller as well.