I did restart the computer into Zorin before I tried installing the driver. Should I do something else still?
You need to be sure to boot into the 5.8 kernel, not the 5.13 kernel - otherwise, you will just have the same problem.
Tap esc or tab from your motherboard splash screen to pull up Advanced Options for Zorin and arrow key to Zorin on the 5.8.0-67 kernel. Hit enter to select and boot from that entry.
I can see that all the other Kernel folders in /lib/modules/ have a build subfolder. The 5.13.0-35-generic folder does not. The installer refers to this build folder saying
"Your kernel headers for kernel 5.13.0-35-generic cannot be found at /lib/modules/5.13.0-35-generic/build or /lib/modules/5.13.0-35-generic/source".
Maybe that's the problem? I tried finding the same Ubuntu archive links for that Linux kernel number but was unable to.
I just tried restarting and hitting Tab on the splash screen but it didn't do anything. When I hit ESC I just reached saw a verbose boot black screen I believe. In either case, it just brings me directly back to the login screen.
Yes, you can source the directory - that is a bit more complex. The method we are using is a bit simpler, is all.
Can you please open terminal...
sudo nano /etc/default/grub
Ensure that grub timout is set to 10 not to 0 or a lower number...
ctrl+x to exit, then y key to say yes to save, then the enter key to save and exit. The terminal will revert to normal.
No run
sudo update-grub
You should notice the 5.8 kernel noticed and listed.
Reboot and try the esc key again, tapping it like you are trying to win at Mortal Kombat.
I managed to reach it. My motherboards shows the splash screen twice. Once shortly in the beginning, then once it starts loading Zorin OS. I had to hit ESC on the first, not the second screen.
Managed to log back in, now the errors have completely changed. I think this will be more of an issue with the installer script now.
Apart from this, I just ran dkms status. And it shows me both drivers I attempted to install as "added".
rtl8192eu, 1.0: added
rtl8814au, 5.8.5.1: added
The Nvidia driver is also listed there, but as "installed".
EDIT:
sudo modprobe 8192eu does not activate the driver.
mv: cannot stat
./blacklist-rtl8xxxu.conf: No such file or directory
Can you try the following:
sudo depmod -a
sudo cp ./rtl8192cu-fixes/blacklist-native-rtl8192.conf /etc/modprobe.d/
It outputs "cp: cannot stat './rtl8192cu-fixes/blacklist-native-rtl8192.conf': No such file or directory.
I expected that as likely - Ok, let's change to using a different make of the same driver that has it:
You'll need to do some Transferring with the phone again. You can try it staying on the 5.8 kernel for now.
Tried it, but I'm getting an error on the "make" command. "Makefile: No such file or directory."
"***No rule to make target 'Makefile'. Stop."
make: *** Makefile:1828: modules Error 2
I did move to the main directory of the driver, of course.
Did the headers get installed when you did the kernel install earlier?
I haven't seen any evidence to the contrary. From what I can see the header errors completely disappeared.
dpkg --get-selections | grep linux-headers
They did get installed, yes. But the ones mentioned in the original error message are not listed.
Can you please post the terminal output of the above?
Here you go:
I will unfortunately have to finish for today. I will continue trying to fix this tomorrow. Thank you so much for your help and determination!
Does it say "install" on the far side of each entry?
No problem, I could use a break from this head scratcher, too. 
Clearly, yes. But the O.P. is currently unable to connect to the net either by hard line or hotspot.
Which is why we have been going about this in such a round-about way...
Yes... connecting to the net would make this much easier to deal with.
Turns out that after switching to the newer kernel, I have an additional option in the network settings where I can turn on wired connections. I didn’t see that before switching Kernel. I wonder if that’s why my USB tethering did not work. Right now I’m still rather thinking of reinstalling everything, updating everything, then installing the driver again.
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Which kernel is the one you switched to?
Hey if it's working... I mean... I'd support your decision either way.