To expand on @Tom_C’s answer which has all the right suggestions, I looked at the diagram of the back panel of the Zoom and I would say try setting the output switch on the back to -10db. Use both the Zoom output knob and the gain on the 2i2 to get a good level between them.
I have 2 other suggestions:
Why not record in stereo? You probably have some nice ...
It might be an impedance problem: electric guitars are high-impedance, meaning you should set the audio interface to "inst" mode. On the other hand, powered effect processors will usually output the sound at "line" level.
switch the audio interface to line input if it is not already the case
reduce the output level on ...