Karl It seems to be OS-related (Windows 10, tried on two machines, currently can't test on W11) when opening the zip. I tried different browsers (Edge, Firefox and Chrome) on your demo site, downloading two balloon JPGs and got the same results.
Only when downloading (two) files from my site root folder does it work, ZIP opens as expected.
Some character(s) that Windows doesn't seem to like get encoded at the beginning of the file name/path. When opening with 7-Zip (a more capable program than Windows default), the archive first shows a "_" dir. When opening that, the file path on the top address bar doesn't contain that. Two screenshots here + a sample zip downloaded with iOS Safari. The same results opening in Windows, so it doesn't seem to be browser-specific.