Let's get the slow thing out of the way first. In a terminal:

docker pull kalilinux/kali-linux-docker

Next, install XQuartz (version 2.7.11 at the time of writing).

Log out and back in, otherwise running xhost will complain with xhost: unable to open display "".

In a terminal:

ip=$(ifconfig en0 | grep inet | awk '$1=="inet" {print $2}') xhost + $ip mkdir -p pentesthome docker run -ti --name pentest -e DISPLAY=$ip:0 -v /tmp/.X11-unix:/tmp/.X11-unix -v $(pwd)/pentesthome:/root kalilinux/kali-linux-docker /bin/bash

In Kali:

apt-get update apt-get install -y zaproxy zaproxy

Et voilà: