The former One Direction star and the 20-year-old lingerie model were spotted travelling back to the £450-a-night hotel by taxi in the city's Bowery district, where Zayn is currently recording his first solo album.
Earlier this week, a source close to the pair admitted they've been growing increasingly close to each other.
The insider explained: "It's a very new thing. They're just seeing where it goes."
Meanwhile, another source said the British singer is "chuffed" to be dating the blonde beauty, having ended his engagement to Little Mix star Perrie Edwards earlier this year.
The insider said: "I wouldn't call them boyfriend and girlfriend. But seeing each other? Definitely. He's chuffed."
The speculation comes shortly after Zayn said he will "always" love Perrie - and insisted he didn't break her heart via text message.
He said: "I have more respect for Perrie than to end anything over text message. I love her a lot, and I always will, and I would never end our relationship over four years like that.
"She knows that, I know that, and the public should know as well. I don't want to explain why or what I did, I just want the public to know I didn't do that."