Can I run my own zkEVM setup on top of Polygon's zkEVM chain (deploy it as L3) instead of deploying it directly onto Ethereum mainnet (as a parallel L2)?

While it is possible to run a zkEVM on top of Polygon's zkEVM chain (as L3), it may involve additional complexities for asset withdrawal compared to zkEVM deployed directly on Ethereum mainnet (as L2). 

The recommended approach is to use Supernets as the L3 solution for simplicity and withdrawal efficiency. zkEVM and Supernets differ in terms of centralization and where assets are secured. If you opt for zkEVM as L3, you would need to withdraw assets from L3 to L2 and then from L2 to L1, adding extra consensus requirements. Ideally, is you use zkEVM for L3, you would also prefer using a zkEVM for L2.