You can add more than one <label> inside your <controls> Tag
Then each label can have its own <OnMouseDown> to handle making them darken. As for changing to show each zone I'd look into the api for a get current zone or something. And because the number of quests in each zone will probably change you might have to generate the labels dynamically for each quest in lua because you will be limited to how many <label>s you put in your XML otherwise. There are probably many ways of approaching this but that is the first that comes to my mind
hopefully this gives you some direction