Originally, MBR was used in computers- The Master Boot Record. The MBR could only support up to Four Bootable Partitions. A partition is a Section of the hard drive that is reserved for an Operating system or Data Storage. In reality, you can create and use a partition pretty much however you want... But the common usage is to install an Operating System on it.
Since Windows is (By Far...) the dominant O.S., manufacturers began to offer a partition of sold computers that contained a Recovery Section- for restoring a computer to Factory Condition. System Restore. This is because... bunch of Windows users... what with the unchecked installations, viruses and whatnot...
With more and more advanced options in recovery, it became clear that a better method than MBR was needed. Something that can offer more than Four Bootable Partitions and manage more data flow faster.
EFI was introduced (Extensible Firmware Interface) to meet this demand. UEFI is Unified Extensible Firmware Interface.
A computer that has a blank hard drive lacks an EFI partition which is needed for the Zorin OS installer to know where to place GRUB (GRand Unified Bootloader). Without Grub, the OS cannot fully install and would not be able to Boot after installing.
Your first step must be to use a partition Manager (You can use the one provided in the Try Zorin USB) to create a 512 megabyte EFI partition as outlined here:
What were the results of setting BIOS to Legacy and then installing Zorin?
That is fine - the filing system NTFS is strictly for Windows. 