Got it, only took me like forever
Sooo.. I thought you had to place the fonts in the zip in a folder called fonts. Also when I was first doing this I must have got the case wrong.
Thank you for your help.
Just to recap for others on how to use a local font in CocoonJS:
1) You need to import the font into the Files directory in your project (right click on Files and choose Import).
2) The file-name should be Font + FontStyle and of the same case. Example I had a font called Tw Cen MT with a style called Condensed Extra Bold, so full file-name is Tw Cen MT Condensed Extra Bold.tff
3) Every time you export to cocoonJS, open the zip and rename font file to be correct case (it always default to lower-case).