Its interesting that throughout the entire Delta Episode Zinnia actively encourages the player to chase after her (including literally saying she "hope[s] you'll come chasing after [her]") despite having no real reason too and displaying hostile behavior towards pretty much everybody else in the story. Sure you could say its cause she needs your keystone but the scene at the top of Sky Pillar pretty clearly demonstrates that she could have knocked you out and taken your keystone at any time. I think on some level she knew that the PC was important to fulfilling the prophecy, even if she was didn't know how (also possibly for shipping reasons but I'll leave those out of my character analysis).
