Firstly, Balena Etcher is a pile of junk. It never worked for me on several different laptops. So I'm not sure why team Zorin insist on using this worthless tool.
Secondly, make sure you do a full format of your usb not a quick one(I had some dodgy fake ones from ebay which caused me problems).
Rufus seems to be the way to go. Did you try burning the USB in DD mode instead of ISO mode? This worked for me (when you click the button to burn the boot image, it will pop up which mode you prefer).
I found out in the end I had dodgy USB drives. I ordered new ones (offical genuine Kingston and paid a bit more for a 32GB). I then used YUMI Legacy tool (v2 something) to create a "multi boot" USB. On this I uploaded Zorin, Kubuntu, etc. just to test whether it was the Zorin ISO or something else.
Anyway, long story short, I had to disable secureboot and enable "legacy" options in the Bios. Then finally it started working.
I admit, Zorin should offer some education on dual boot topics (although it is outside the scope of the OS itself), this is where it has a chance to stand out as a distro compared to other sites that just expect users to endlessly google all day.