"Didn't he do it during the season finale? "
Nope. The only people we have ever seen lightning bending are Ozai, Azula and Iroh. Zuko, Aang and Iroh are the only ones we've seen redirecting it. But since he his is a skilled firebender, it is possible for him to learn it.
I don't remember him ever doing it before in the show, but I think he could if he wanted to, he's a skilled firebender so I'm sure he knows how, plus it is a dangerous technique to preform, so it's not like he's going to just through around lightning all the time.
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