Create a temp directory and open a shell in it. When finished, delete the temp directory.

temp_shell.zsh

#!/usr/bin/env zsh --login

# Create temp dir
tmp=${1-$TMPDIR}
tmp=$tmp/tmp.$RANDOM.$RANDOM.$RANDOM.$$
(umask 077 && mkdir $tmp) || {
	echo "Could not create temporary directory! Exiting." 1>&2 
	exit 1
}
# Go to it and start a new shell
cd $tmp
/usr/bin/env TMPSHELL=1 zsh
# Delete temp files
rm -rf $tmp