It looks like timeshift is making a local copy (like a temp copy) prior to transferring to the usb. If you log out, or restart, does the files persist? It is odd that the files are being created on the usb while making local copies.
Could timeshift be confused a bit since there is a space in the destination label? Technically it is copying to "Zorin" in both locations. Try modifying the usb name to include a hyphen instead of a space, then modify the configuration for timeshift accordingly.