We have studied at cryogenic temperatures photoluminescence features which lie more than 0.15 eV below the band edge in ZnxCd1-xTe (0≤x≤0.09) crystals. The same features, namely a defect band which lies at about 0.13-0.20 eV below the band-gap energy and a peak at 1.1 eV, that are observed in pure CdTe samples are observed in these alloy materials. In annealed samples we observe that the 1.1 eV feature, which has been attributed to tellurium vacancies, increases with fast cooling. Increased concentrations of tellurium vacancies can be understood in terms of the phase diagram of CdTe which indicates that higher concentrations of excess Cd appear in CdTe quenched from high temperatures. We also observe an absorption transition near 1.1 eV by photothermal deflection spectroscopy (PTDS). The PTDS phase shifts show that the deep defect is a bulk effect rather than a surface effect. The well-defined absorption peak suggest that the defect band which lies 0.13 eV below the band gap (1.48 eV in CdTe) may also be related to tellurium vacancies. However, the fact that the ratio of intensities between this defect band and the 1.1-eV feature is highly variable suggests that the relationship is not simple. The origin of the defect band and its phonon replicas remains controversial.