Sorry for this post, but I would think differently, Admiral.
Zhey seems to be a mark of respect, which is one of the root of the Dothraki, as you, Qvaak, Hrakkar and Niqqo teached me.
I'm not sure it would be used for this kind of interjection... Maybe with Ifak or some insults of this kind (chiftik) to amplify the ridiculousness of the insult itself. (like a gentle insult, between two close friends)
But an insult like fucker, dummy or asshole is too high (on the ladder the feelings that create the need to say it) to add zhey, even to add some foolishness.
But, as always, I'm no linguist, I only give my point of view with what I've learn so far with the few tongues I studied, so I may surely be wrong.
I personnaly think that there would not be many insults or "bad words" in Dothraki (as in japanese). After all, Dothraki don't insult much : if someone is not respectful to another, it usually ends with one of the two protagonist lying on the floor, bathing in his blood, with an arakh stucks in his belly...