Some UEFI won't allow you to delete the Windows boot entry (or change it to default to 'Ubuntu' for Zorin OS) until you zero the partition holding the Windows installation... my HP 17-cp1035cl machine was like that, which caused no end of consternation while first attempting to get Zorin OS installed.
So, if you run into that, zero the partition that windows is on. Let's say Windows is on /dev/sdb1:
sudo dd if=/dev/zero of=/dev/sdb1 bs=512 status=progress
Before you do that, though... if you want to save your Windows installation to another drive, just in case you want to revert back to Windows without having to go through the entire installation routine... let's say Windows is installed on /dev/sdb and you want to back it up to /dev/sdg:
sudo dd if=/dev/sdb of=/dev/sdg bs=512 status=progress
That'll back up the entire drive /dev/sdb to the drive /dev/sdg.
You can also do specific partitions, just use /dev/sdb1, /dev/sdb2, etc.
Then, to revert back to Windows:
sudo dd if=/dev/sdg of=/dev/sdb bs=512 status=progress
Look at my prior posts if you want to archive the Windows installation to a zipped .img.7z file. If you wanted to revert back to Windows, you'd extract the .img file from the .img.7z file, then use the Disks application to write it back to the drive of your choice.