Since you have already voided the payment on your Payment Gateway application, you would not want to also void the payment out from Zuora. You can void a payment from Zuora if you have not voided it on your gateway application.
In this particular case you will want to process an External Refund. An external refund will act as a 'placeholder' showing that you have reversed the payment externally and this process will not return funds back to your customer since you have already voided it.
For more information please check out our Knowledge Center article on Creating Refunds here: https://knowledgecenter.zuora.com/CB_Billing/K_Payment_Operations/Refunds/Creating_Refunds#Creating_...
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