Zoomorphic robots have the potential to offer companionship and well-being as accessible, low-maintenance alternatives to pet ownership. Many such robots, however, feature limited emotional expression, restricting their potential for rich affective relationships with everyday domestic users. Additionally, exploring this design space using hardware prototyping is obstructed by physical and logistical constraints. We leveraged virtual reality rapid prototyping with passive haptic interaction to conduct a broad mixed-methods evaluation of emotion expression modalities and participatory prototyping of multimodal expressions. We found differences in recognisability, effectiveness and user empathy between modalities while highlighting the importance of facial expressions and the benefits of combining animal-like and unambiguous modalities. We use our findings to inform promising directions for the affective zoomorphic robot design and potential implementations via hardware modification or augmented reality, then discuss how VR prototyping makes this field more accessible to designers and researchers.