The reason is a Zorro bug which only affects tests with a low drawdown value, less than $100.

The return is calculated from the drawdown, and for this Zorro adds the minimum margin to the drawdown. That's ok so far, but as the minimum margin depends on the asset, it uses an average value of $50 which is too high for your nano lot account. This makes all tests with low drawdown too pessimistic. Another user had a similar problem.

This will be fixed in the next Zorro version. Until then, when you simulate different accounts, use a high margin or lot size to keep the drawdown high enough so that the additional $50 don't noticably drag down the annual return.