Well, it WILL, but it's just a blank window with the cursor in it. Like so:
http://img34.picoodle.com/img/img34/2/5/3/majoraswrath1/f_BUGm_ba150e9.png
Except the cursor is the ZQ cursor. I can't close it out normally and have to use a Terminal to kill the process.
Zelda Classic, on the other hand, is slow-ish/laggy (F1 does nothing), and soundless, but I'm pretty sure the latter is inherent with MIDI playing and Linux. Then again, non-midi sounds also fail to be heard.
EDIT: Ubuntu 8.10, if that's relevant.