We give a quantum algorithm for computing an $ε$-approximate Nash equilibrium of a zero-sum game in a $m \times n$ payoff matrix with bounded entries. Given a standard quantum oracle for accessing the payoff matrix our algorithm runs in time $\widetilde{O}(\sqrt{m + n}\cdot ε^{-2.5} + ε^{-3})$ and outputs a classical representation of the $ε$-approximate Nash equilibrium. This improves upon the best prior quantum runtime of $\widetilde{O}(\sqrt{m + n} \cdot ε^{-3})$ obtained by [vAG19] and the classic $\widetilde{O}((m + n) \cdot ε^{-2})$ runtime due to [GK95] whenever $ε= Ω((m +n)^{-1})$. We obtain this result by designing new quantum data structures for efficiently sampling from a slowly-changing Gibbs distribution.