Oh, well, those addresses aren't done by wallets. They are done with a Linux server running lnurlp software. When you see wallets like Zeus or Alby offering those addresses, they are a custodial service that forwards the Bitcoin to you after they receive it.

If you just want an simple lightning address, go to lnwallet.app and you can create an address with a single click. When you receive zaps ⚡, just forward them to your Phoenix wallet. It includes a NWC connection so you can link it to your nostr client to send zaps.

You can also register a nostr NIP-05 address at onlynostr.club and point it at the lightning address you created in the previous step. That's what I do. That's how I have that same vanity address as my lightning address as well.