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If the ksh being used is a recent version (such as 93u+ 2012-08-01), you could also use:
filename="$(printf '%s_%(+%Y%j)T.ZIP' "$FILE_NAME_WO_EXTN" yesterday)"

Maybe something more like:
#!/bin/ksh
FILE_NAME_WO_EXTN="whatever"
YrDoy=`date '+%Y%j'`
filename="${FILE_NAME_WO_EXTN}_$((YrDoy - 1)).ZIP"
printf 'filename has been set to "%s"\n' "$filename"
...

I believe that the output of that script would always be:
doy
and never:
36
If you change:
echo doyto:
printf '%03d\n' $doy
you should get something closer to what you want.