I think the religious head calls those, like crusades, and the player has no input. Don't quote me though, since I only have one standard Zoroastrian playthrough, and am in the midst of an attempted Swedish Zoroastrian ironman.
Something like this. You can also 'Request Invasion' in the diplomacy list, but I don't think I've ever seen it clickable. Stupid Moabad called the first Great Holy War on Greece of all places, ignoring Anatolia completely.