Do you have more information about Zeus? Age, size, is he neutered?

Most (and certainly not all) problems are mostly likely male/male or female/female. Since Captain is the more laid back of your two, I'm guessing you will be fine.

The best thing, I think, would be if you could introduce them on neutral territory first. If you could get them together to play somewhere, like a park so something, it may not seem like such a threat when Zeus comes to stay.

One other thing to keep in mind is that terriers are very often, very intelligent, but very stubborn pups. Make sure you let Zeus know right away, you are in charge, and he should be smart enough to follow the rules

Good luck, have fun, and take lots of pictures!!!