Harem (Spoilers)

Qoni -First Wife and mother of his children. --By choice.

Azhi - Qoni's sister. --By choice.

Serena - Pyromancer and Slave from Asshai. -- Captured but submitted herself.

Daenerys Targaryen - Second Wife. --Taken by force and Manipulated.

Other bed partners like slaves and handmaidens are pass times. And used to curve Zhano's sexual prowess.