Unbelievable,Are you able to send reboot edl to the zte recovery?
After your Question I took the phone out of its package (because I already started an RMA ) and tried a reboot while connected to PC. I repeated the "adb reboot edl" command into the console as often as possible.
Now phone seems to be in EDL mode.
I managed it to reinstall TWRP.
Thank you tron1 for your hint. :good::highfive::good: