In warm, wet, humid conditions, zinnias are often struck with mildew. It's a common problem, that once happens, is hard to get rid of. I would leave your plants alone at this point and enjoy their flowers. Next year, if you want to grow zinnias again, you'll probably want to spray them with a garden fungicide every 7 to 10 days during the worst of the humid weather. Some forms of zinnia, such as the Profusion series are much less likely to get this problem.