The Knicks had an 86% chance NOT to win the lottery. That's what the flattening of the odds and expanding the lottery to four teams did - it drastically reduced the incentive to tank. Still, New York hoped and felt it would somehow happen, and it seems Zion hoped for the same thing.
He's young, he loved playing in MSG, and this is his first lesson in NBA life - it rarely goes as you wish it will. Zion will not be going to New York, that's for sure. Will he be playing next to Anthony Davis? That remains to be seen.
New Orleans always treated the Pelicans like the black sheep of the city. The ownership used to do it too. There are numerous examples that showed the Saints were still priority no.1, and the Pelicans would just tag along.
After he takes a breath, Zion should realize this is better for his career. Ownership and management are the most significant indicators of quality. David Griffin wouldn't have come to New Orleans if he didn't get assurances he will control, and Gail Benson would invest. He hoped for the biggest NBA market and landed in the smallest one. Soon he will realize he avoided one of the worst organizations in NBA for an up-and-coming one.
If the Pelicans do trade AD to the Knicks, their no.3 pick will be a part of the package, so even if it's not New York, he could team up with R.J. Barret sooner than he would ever guess it possible. That should help him accept his reality - New Orleans controls his NBA destiny until 2026.