Using Nitrogen app on Gnome / Cinnamon

You can install with

sudo apt install nitrogen

Or from Software
Nitrogen is a Background Wallpaper manager. On Zorin OS Lite, a user can easily choose different wallpapers for different connected monitors.
On Zorin OS Gnome or with Cinnamon desktop, however, your wallpaper remains the same on any monitor once you select one.
Enter Nitrogen:
Open the Preferences and set your directory for where you want the system to look for your wallpapers.
Select a wallpaper from your list.
At the bottom you see two buttons
One is the proportion or ratio of the wall paper.
The other is which monitor or both to display on. Let's say you have two monitors that are 1440x900 and you want a wallpaper that is 2880x900 displayed across both as one unit. Select Full Screen.
Now, click apply.

Or you may want to use two different wallpapers. Select your first and set it on Monitor 1. Click Apply. Select your second and then select monitor 2. Apply. Continue if you have more monitors.