In order to mock an API in a unit test, you need to be able to mock the response that comes back from the API request. Therefore you need to specify in the test what JSON (for example) would come back from the HTTP client.

To do this in Zend Framework 2, you need to mock the Zend\Http\Client so that it always returns a mock response, and have the mock Zend\Http\Response always return the JSON content that you want.