Grub is standard in all Linux Distros; Zorin does not have a Specific grub that is not used on other distros.
Asking on the Puppy Linux forum may be the best way to go as there is a better chance of the members there having good knowledge on that Distro and it's installer (Zorin uses Ubuntus Ubiquity Installer, which is different from the installer used by Puppy) - But the grub is the same, either way.
To add: If you are booting Puppy Linux on USB, you may be thinking of the Motherboards Boot Order, not Grub.
In which case, you may need to hit F12 or F10 or F8 at your computers Motherboard Splash screen. This is manufacturer specific, so you may need to look up "Access Boot Order" followed by your Computer make and model in an internet search to find the right key for it.