ugh... nVME...
I can assure you that an EFI partition is not contained within Windows. This has to do with how the EFI partition works and is used that shows it must be independent of the Operating system.
By the way- that is a Small EFI partition. 256megs should be ok - many go for a 512 meg EFI partition to be safe. Only just under 40megs are used so you should be fine.
I might hazard a guess that Windows was installed first and it setup the EFI partition and then Labeled it as Windows Boot loader.
nvme0n1p3 is your Windows OS?
What is nvme01p4 doing over there? Is that the partition you have set aside for Zorin?



LOL
but hopefully my sense of humour will remain intact! I'm not going to give up because I really want Zorin as my OS of choice. Even if it means I have to vaporise Win 10 before I planned to.