Interesting idea.. What kind of gel are you planning to run?

Will the enzyme still be in its native (i.e. active) form in-gel, you think?

It doesn’t sound like a good idea for the following reasons:

a) Incorporating the mix witin th gel could mess up the buffer system that ensures stacking of the protein sample, which will jeopardize resolution

b) As the enzyme migrates ,it will react with the substrate and you will get a streak instead of a band on the zymogram

Best option is to either blot protein/ enzyme on a membrane and react it with the substrate.

Or alternatively dip a Whatman 1 paper strip in substrate solution, and place it over the gel, once the electrophoresis is complete. It usually works for Native as well as SDS-PAGE.