Hi and welcome to the forum.
Are you trying to Instal ZorinOS on a USB stick OR
trying to create a ZorinOS installation USB stick?
This thread may be of interest: Install Zorin Lite on an USB Stick
It is also possible to run ZorinOS from a USB installation stick using the "Try Zorin" option. If you create your USB with persistence then you can then save changes.
Note: Running ZorinOS from a USB stick will be slow compared to running from a HDD or SDD, due to speed limitations of USB.