At the time of Detective Comics #27's release, Zorro was about to have his fourth feature and third actor in the role in the US. But Zorro hasn't had just a US film history. There have been some Mexican and many European productions as well.
Perhaps the Waynes went to a quaint theater that shows foreign films and it happened to be a Zorro picture?
Again -- the movie wasn't identified as The Mark of Zorro
, in The Dark Knight Returns
. Before that it was just an unspecified movie. And Detective Comics
#27 didn't say anything about Batman's origin -- the story wasn't told until #33 (and then reprinted in Batman
Note that it says the Waynes were walking home from a movie some 15 years before, which would've been 1924. It wouldn't even have been a talkie.