Is this Zorro as a starting PC, or an idealized version of the character?

If a starting Hero, then I'd say your choices for Backgrounds are prime choices, although for Advantages (apart from those granted by his backgrounds), you don't have quite enough points for all of those (starting Heroes only get 5 points), so I'd suggest keeping Second Story Work (it fits) as the replacement for getting Disarming Smile twice, and then taking Duelist Academy with the 5 discretionary points.

Traits and Skill Ranks would probably look something like this:
Traits = Brawn 2, Finesse 3, Resolve 2, Wits 3, Panache 3 (he's agile, he's smart, and he's definitely charming, but not especially strong or sturdy)
Skills = Aim 1, Athletics 2, Convince 2, Empathy 2, Hide 2, Intimidate 3, Notice 1, Ride 2, Scholarship 2, Weaponry 3

Advancement options would be to boost up Athletics, Convince (to better pull off his double-life), and Weaponry, as well as picking up Legendary Trait for Finesse (perhaps as a Personal Story?) and Valiant Spirit (extra Hero Point for free never hurts).  Hide he can probalby get away with leaving as-is since Second Story Work will do a lot of the heavy lifting in that respect.  Intimidate would be a low priority to increase, and it would probably be less expensive to simply buy ranks in Reputation to account for great dread that Zorro can inspire in his foes once they realize just who they've crossed swords with.

As for what Duelist style to take, I'd have to say Aldana is pretty much the go-to of the currently published styles, though if Gallegos ever gets an official version and isn't too wildly changed in theme from how it was presented in 1e then that would be an even better fit.