Zidovudine is known to cause Anemia and Neutropenia but not Thrombocytopenia. Suggest that you can use Zidovudine but closely monitor using Complete Blood counts(CBC).

My first comment is that the first thing to do is to detemine the etiology of thrombocytopenia. You should be more especific.

I agree with Ricardo. Thrombocytopenia is usually a sign that something is going wrong, this could be a result of HIV infection, some oportunistic infection triggered by HIV, a result of drugs (either antibiotics or other) etc. Then you have to balance the side effects of corticoids (particularly in an already immunosupressed patient) against the expected gains of maintaining a normal platelet number . In the usual Idiopatic Thrombocytopenic Purpura, corticoids are used only when platelet numbers are very low or cause bleeding. But again, you should be more specific with your question.