Hello Alejandro - In your dataset, every geographical elements (Zip Code, City, County, State etc.) has some name. Use that field and drag that dimension to the "Label" Marks card to expose any Label. Nothing to be done at Map Layer level.
Thanks for your quick reply. Let me explain what is the issue:
This is not a Tableau's map, when we integrate Tableau with Mapbox and render the custom map in tableau, Tableau doesn't have any control on the map i.e. can't show label, tooltip etc. Because of this limitation, I have put the label in Mapbox map layer and rendering them as it is in tableau. But when I zoom in the map, map shows multiple labels.