I've already spoken with a debugging tool manufacturer, the cost per board is extremely low
CMSIS-DAP is provided for free by ARM. The Chinese could put CMSIS-DAP into whatever chip they wanted. And produce a Zero clone.
The Xplain series of development boards use an ATMega32U4 as a programmer/debugger- they call it the mEDGB.
I'm sure if you wanted to get enterprising you could design your own board with an mEDGB onboard.