It's more a question of 'Who'.
Zagreus is a character from Gallifreyan folklore/mythology. Zagreus is made up of Anti-Time, and stories of Zagreus were used to frighten Gallifreyan children.
In the Big Finish Audio "Neverland" (audio story) the Eighth Doctor absorbed much anti-time, and so called himself Zagreus. He was Zagreus rather than the Doctor for much of the next Big Finish Eighth Doctor Audio "Zagreus" (audio story) as well.