The answer is negative.
The entalphy of formation, ΔH°f, is defined as the change of enthalpy enthalpy that accompanies the formation of one mole of the compound in its standard state, from its consitututive elements in its standard state.
Hence, by this definition, the change of enthalpy of the elements in its standard state is zero.
Ozone, O₃ (g), is not the standard state of oxygen - the standard state of oxygen is O₂ (g), so you cannot expect that its enthalpy of formation be zero.
Ozone can be seen as the product of a series of reactions in the atmosphere which involve a net enthalpy change, so ithe enthalpy of formation is, indeed, not zero.
The net reaction for the formation of ozone is O₂(g) + O → O₃, but, as said, the actual mechanism involve a series of reaction, whose total change of enthalpy is greater than zero.