Zeugma is the blending of two or more semantically incompatible word groups, having an identical lexical item, into a single construction in which this item is used only once; the resultant effect is strongly humorous or ironical. Yu. M. Skrebnev writes that any instance of zeugma is breach of the Law of semantic coherence because in this figure there is always an unexpected and seemingly illogical switch-over from one subject of speech to anothe.
It should be underlined that while in English literature Zeugma is an accepted figure of rhetoric, in Russian it is beyond the literary norm, hence certain difficulties may arise in translating zeugmas from English into Russian.
Pun - a stylistic device based on a humorous use of words identical in sound but different in meaning, or the use of different meanings of the same word.
Paronomasia - a figure of speech which consists in the deliberate (often humorous) use of the partial phonetic similarity of words different in meaning.
Zeugma and Pun: distinguishing feature is a structural one.
Zeugma: polysemantic verbs are deliberately used with several homogeneous members which are not connected semantically.
Pun: one word-form is deliberately used in two meanings; it is relatively independent, there needn't be a word in the sentence to which the pun-word refers (but it depends on a context).