Yes, there are Dwemer ruins in High Rock. Zthenganaz is one of them.
Dwemer ruins are the remains of Dwemer cities, which scattered across Skyrim,[source] Hammerfell, High Rock,[source] and Morrowind.
Which credits the statement to the in-game lore book, Dwemer Inquiries Vol II. While the lore book does not mention High Rock, itself, that is to be expected. The book acts as a translation of Dwemer texts, who did not refer to "High Rock" using its more modern name. With my limited knowledge of the Dwemer lore, the only connection I can make is in reference to the Dewmer ruins of Bthardamz;
The largest and most impressive Venues, such as that found in Bthardamz, may even feature roads wide enough for ten large men to walk shoulder-meets-shoulder along it.
Bthardamz is in The Reach, a hold within Skyrim. However, The Reach backs on to High Rock - into an area of High Rock called the Western Reach. It is safe to assume that the Western Reach connects with the Reach, given that it is in Eastern High Rock, but directly west of The Reach.
This train of argument still relies on speculation, but it is obvious that Western Reach and The Reach share more then mere proximity.
The lore provided on High Rock does not seem to offer any contradiction, in this case:
Wrothgar is the northeastern region of High Rock. .. It also contains numerous Orc strongholds and Dwemer ruins.
The Elder Scrolls Online
High Rock is actually a location, in The Elder Scrolls Online. One of its regions, in particular, look particularly interesting. Here is an excerpt from the trivia section of The Elder Scrolls Wiki page concerning the High Rock found in The Elder Scrolls Online:
The Regions in Wrothgar are Pseudonyms created to give each Sub-Region a proper name. The Western Reach is the snowy western portion of The Reach named because of the Dwemer Ruins in the region.
Ultimately, we can say that at least one Dwemer Ruin exists within High Rock:
- Zthenganaz is a Dwemer Ruin that is located in Wrothgar, in the region of High Rock. The ruins are a location in The Elder Scrolls Online: Orsinium, and feature during the quest An Unexpected Fall.