Could you do something like this or this also but to boot a Zorin USB instead of a Ventoy USB? If someone knows more than me, they can probably tell you how. Or failing that, can you instead put Ventoy on the USB (make sure to go to options and select the GPT partition style because the default is MBR and that might mess your machine, dunno) and then put the Zorin ISO on it (I would throw on an Ubuntu one too since you know that works already, and have it as backup).
Ok also I'm curious how you even got Ubuntu on there.
What does lsblk say? Does it even see your USB?
I have been sort of working on making grub custom entries but I'm not to the level I can really help. I have successfully made one that I can boot to my HDD and NVMe but we really need help of an expert here to help figure this out.