These. These are the unstable Debian branched repositories.
https://repo.protonvpn.com/debian unstable InRelease
These can be removed by elevating to root
sudo -i
launching the file manager
nautilus
Navigating: "Other Locations" > "Computer" > clicking etc open, then apt open, then sources.list.d (the directory, not the file) folder open.
Then right click the ProtonVPN entries and right click to delete.
Once you have upgraded Zorin OS, you can re-add the repositories for ProtonVPN if you are using ProtonVPN, hopefully this time, getting the pubkey assigned in the process.