I assume that when you refer to the word "zinger" you are wanting a sentence or a quote that will set the tone of your extended response to this chilling short story. Well, to being, you need to remember that this tale is a spine-tingling version of the "three wishes" tale told in most cultures. Like many renditions of the tale, it offers lessons in morality, but it distinguishes itself from other such tales through its aura of terror and suspense. Reading it is like going on an emotional rollercoaster ride as the Whites are pushed to the brink of desperation, trying to reverse their wish and bring their son back from the dead.
One place to start in terms of focussing on the dark, sinister mood that characterises this story is on the introduction of the paw and what the general says about it. This is worth quoting at length to be able to discuss how Jacobs begins to create the mood:
The soldier regarded him in the way that middle age is wont to regard presumptuous youth. "I have," he said, quietly, and his blotchy face whitened.
"And did you really have the three wishes granted?" asked Mrs. White.
"I did," said the sergeant major, and his glass tapped against his strong teeth.
"And has anybody else wished?" persisted the old lady.
"The first man had his three wishes, yes," was the reply; "I don't know what the first two were, but the third was for death. That's how I got the paw."
His tones were so grave that a hush fell upon the group.
Key aspects to note about how the dark mood is established is the descriptions of the sergeant major. The whitening of his face as he recalls his three wishes, and then, paradoxically, the tapping of the glass against his "strong" teeth clearly sets a discordant note - a strong military man is not expected to be reduced to a bag of nerves by the remembrance of such "magic". Lastly, the recounting of the last man who wished for death as his last wish creates an automatic hush - clearly the stage is set for the old fakir's prophecy to prove true in the midst of the mood that has been established.
Hopefully this will help you identify a "zinger" that you can use to introduce your essay. Good luck, and remember, be careful what you wish for :-).