Swiss Pass Zermatt to Milan

See the station ticket agent at Zermatt station.
Edit. I am not aware of any trains that do not stop at Domodossola. Italian and Swiss customs inspectors usually ride the trains between border stations because Switzerland is not a part of the "Common Market", although they are a party to the Schengen Treaty. Domodossola is on the synoptic map indicating that it is included in the Swiss Pass. The Swiss ticket agent should be able to issue you a ticket from Domo to Milan.

I agree with Sam. Just go to a ticket agent at the Zermatt train station (or any other station in Switzerland before), show your Swiss Pass and tell him where you are going. Your Swiss Pass will cover you up to the Swiss-Italian border and he will sell you a ticket from there to Milan. Just show your pass and ticket to the conductor(s) when you are on the train.

Your Swiss Pass will cover you up to the last stop on the Swiss system. So if the train's last stop in Brig before crossing over into Italy then that is as far as it will go. It is the same of all such tickets including my own GA.

@Jim,

I was always of the impression that Domodossola is the nominal border between the systems. For example, I use FIP coupons (for railway staff) valid on BLS which are most definitely valid to Domodossola.

The validity map on the SBB website shows Domodossola is included. That makes sense, since you can travel with a Swiss Pass between Brig and Locarno using the Centovalli Railway that cuts through Italy at Domodossola. Regardless of our opinion, the ticket agent at Zermatt will be the ultimate authority.

Domodossola is the boundary between Swiss and Italian Railways. Trains usually change crews at this point. As far as I know ALL trains stop there.