Circumstellar environments are now routinely observed by dedicated high-contrast imagers on large, ground-based observatories. These facilities combine extreme adaptive optics and coronagraphy to achieve unprecedented sensitivities for exoplanet detection and spectral characterization. However, non-common path aberrations (NCPA) in these coronagraphic systems represent a critical limitation for the detection of giant planets with a contrast lower than a few $10^{-6}$ at very small separations ($<$0.3$^{\prime\prime}$) from their host star. In 2013 we proposed ZELDA, a Zernike wavefront sensor to measure these residual quasi-static phase aberrations and a prototype was installed in SPHERE, the exoplanet imager for the VLT. In 2016, we demonstrated the ability of our sensor to provide a nanometric calibration and compensation for these aberrations on an internal source in the instrument, resulting in a contrast gain of 10 at 0.2$^{\prime\prime}$ in coronagraphic images. However, initial on-sky tests in 2017 did not show a tangible gain in contrast when calibrating the NCPA internally and then applying the correction on sky. In this communication, we present recent on-sky measurements to demonstrate the potential of our sensor for the NCPA compensation during observations and quantify the contrast gain in coronagraphic data.