Pretty sure, I would have have said that .lnk files can be added to an existing 'book', but not they can be used to create a new book.
If you try to create a book by adding a .lnk file to a library then Windows jumps up and does its job, hands the shortcut target to calibre just like if you open a shortcut to an image file in an image viewer.
Been ever thus.
If you renamed the .lnk files (e.g. to .mylink files) you could create the books with those files, and then rename them back to .lnk files in the book folders, drag the .lnk file into the book details panel, and remove the reference to the now non-existent mylink file from calibre. But boy-oh-boy what a palaver.
Why don't you want to keep the zips in the calibre library - a file is a file is a file wherever it is, and a calibre library is a just a common-or-garden folder with bog-standard sub-folders and sub-sub-folders.
BR
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