Personal experience of mine and others, with what research I could find:
https://gymjunkies.com/zercher-squat-101/
Biceps tears are much more common than elbow injuries, but you can prevent these; explained below:
First let me tell you how to correctly perform one as there are two ways:
with your hands holding each other and your arms crossed

with your arms at shoulder width and hands up in the air like a 'U'

When you perform a Zercher squat, #2 is the best way to go as it prevents rounding of your upper back. The exercise is supposed to help with thoracic extension of the spine, so your upper back rounding out would eliminate that or make it much harder.
That being said, elbows are not the main weak point, but biceps are! biceps tears are common with this exercise because your using your biceps to hold the weight. Elbows shouldn't be a common injury because your biceps are the stabilizer here, not your elbow, so typically a bicep would be injured first. With #1 method above, while your elbows should be ok, it is pressing more on the tendons on the side of your elbow, increasing your risk of tennis elbow along with a biceps risk as well. If you're doing the exercise correctly with proper posture, your elbows shouldn't even be a main factor, with#2, but biceps should be a concern as the bar is resting on your biceps, and with heavier weight this can be a huge issue. There are several ways to combat this
- wear athletic tape/wrap around forearm or bicep
- Wear a full length shirt, with a thick hoody
- Lower the weight! This exercise is best with perfect technique and form over heavy reps.
This exercise is best used for thoracic extension which we could all use, core work, and a moderate to high rep scheme of 8+ reps. This is not meant to build strength, but build muscle and endurance in your quads as well as bullet proof your upper back and core(provided you do it correctly)