Zorya is a relatively unknown name in European football and are playing in the main draw of the Europa League for the first time.
Meanwhile, United have already lost to Feyenoord in their opening game and can't afford any more slip-ups in the tournament.
Mata writes in his personal blog for ManUtd.com: "We have two games again this week.
"On Thursday we play against Zorya Luhansk, from Ukraine. Perhaps they are not very well known, but they are second in their league with only one defeat so far.
"We will get to know more things about them in the next few days to prepare for the game.
"The first week they got a draw against Fenerbahce; they are not in this competition by chance."