Hi. I do not know what is causeing it to do this. I do have a suggestion that should work. If it sews well on the straight stitch, then if you need it pretty soon I would straight stitch it down then go back with embroidery thread and do something like a blanket stitch around(yes over the straight stitches) the appliques.
On my sewing machine I find its a lot easier to lessen the tension to do the zig zag stitich. Maybe this will help. I am sure others on here will have comments or ideas to help also.