As a rule, prefixes of separable verbs are words that can stand alone. You will find many prepositions among them.
Here, I think you misunderstood how exactly the veb "zumachen" works. "Zu" is -- among other meanings -- the German word for "closed". Unlike the English "closed", however, it is not the present perfect form of the word for "to close", "zumachen".
open -- auf
closed -- zu
This might become clearer when you change your example to the opening rather than closing of a door.
A: Mach die Tür bitte auf! -- Please open the door!
B: Sie ist schon auf. -- It is already open.
Since "machen" means "make" or "do", "aufmachen" und "zumachen" literally mean "make open" and "make closed". With this somewhat wobbly translation you get the following for your example:
Please make the door closed.
It is already closed.
Doesn't work for English, I know, but this is what we do in German.