Hi Keith,
I have occasionally seen a zinnia leaf with a little variegation, but nothing as advanced as your specimen. I personally am not a fan of variegation, but I understand that many people are. Actually, I am a little surprised that there isn't a commercial strain of variegated zinnias, because, as your specimen showed, variegation is something that zinnias "can do."
I do save seeds from odd zinnia variations, with the idea that they might create something better when cross-pollinated with a different zinnia. This is a picture of one of my current indoor "Woolly" zinnias.
Its petals are unusual, in that they are tubes, and, unlike many tubular petaled zinnias, the Woolly petal tubes are closed at the ends. In order to cross pollinate this zinnia as a female, I will need to remove enough of the petal tubes to expose the enclosed stigmas that are currently inaccessible inside the petal tubes. Of course, if it produces pollen florets I can use them to cross-pollinate this Woolly with some other zinnia. I like to make hybrids between hybrids, in order to get unusual results.
ZM