A bot user is nothing more than a normal agent user whom API key will be use by the bot to access Zendesk Chat and Support APIs.
You can create new agents from the People section in Zendesk Support Admin page.
Give a relevant name to your bot and specify the email address it should be linked too. It is important that you have access to this email address as Zendesk will send you an activation link at this address.
Give your bot the role of Staff and Add.
Go over ti your inbox and click on the verification email you just received from Zendesk to complete the creation of your user.
Now that the agent has been created, make sure to give this user access to Zendesk Chat with at least Agent level permissions.
Last but not least, add a profile picture to make it clear for your end user that they are talking with a bot.