Ah, I see. I knew it was possible but never actually used any installer like that. Looking around in the forum I found another comment where it's mentioned (no sources though) that Zorin 16, being based on Ubuntu 20.04, does indeed not play well with persistence on usb drives:
EDIT: Rather, it seems it may be an issue with the software used and not so much with the OS? It might be worth using another option just to rule it out. Then again this post was made a while ago so things may have changed.