Assuming you don't have many thousands of files (this would generate an "Argument list too long" error), then you may do it like this with the zsh shell:
mycli ./*.zip(P:--file:)
Or, from the bash shell:
zsh -c 'exec mycli ./*.zip(P:--file:)'
(I'm using exec here to replace the zsh shell with the mycli process, for a bit of efficiency.)
The P filename globbing qualifier prepends the given string (here, --file) as a separate word before each element that the glob expands to.
To include hidden files, add D before P, and to limit the matching to only regular files, add .:
zsh -c 'exec mycli ./*.zip(.DP:--file:)'
For a recursive globbing down into subdirectories:
zsh -c 'exec mycli ./**/*.zip(.DP:--file:)'
... and to order the files in order of modification timestamp (would you want to do so), add om as you added D and . before.