I think Misaki's answer is good. "Unfortunately" is an adverb, so in Japanese "zannen nagara," or "zannen na koto ni," We don't say only "zannen" as an adverb. "Unfortunate" is an adjective, then we say "zannen na + noun" Its ordinal word "zannen" is "形容動詞" in Japanese, and it's hard to explain because English doesn't have such a term. Or, 形容動詞 is a part of adjectives and we divide adjectives into an adjective and 形容動詞. I'll be glad if it would be helpful for your understanding.

I always see zannen used like this at the beginning of the sentence: - zannen nagara,.... - zannen desu ga,.... - zannen na+noun.... (e.g zannen na koto...). And (zannen desu/da) if it's at the end of the sentence. So I think you can't use zannen only at the beginning of the sentence (maybe because it's a noun?) See more examples on tangorin.com http://tangorin.com/examples/%E3%81%96%E3%82%93%E3%81%AD%E3%82%93 I'm waiting for an answer from a native speaker too.