I just had the same issue while installing Zorro and R on a new VPS.

I did follow the R installation instructions from the Zorro manual: there were no error messages but options-specific functions in Zorro were simply not working without any hint what could be wrong.

After following the installation instructions from the above stackoverflow URL the options functions in Zorro are working fine.

The test directly in the R console suggested by jcl is still not working, though:

> AmericanOption('put', strike=100, volatility=0.4, 100, 0.02, 0.03, 0.5, engine='CrankNicolson')
Error in AmericanOption("put", strike = 100, volatility = 0.4, 100, 0.02, :
could not find function "AmericanOption"
>

I'm afraid I'm outing myself as a complete R idiot but I believe I'm not the only one ...
So the Zorro manual may deserve a slight improvement in the RQuantLib installation (and eventually troubleshooting) instructions for those of us who are not familiar at all with R.

Thanks in advance.