There are various existing discussions about creating the JKS from PEM files. Probably these discussions are confusing to you in this context simply because different software uses different names for the same files, so the advice doesn't seem to translate from one situation to another.
One of the discussions here pointed to
as a useful resource for creating the JKS file. That documentation is using Certbot's names for these files, which is different from ZeroSSL's.
I believe the equivalence here is
Hopefully, knowing that, you can then follow other people's JKS-making instructions.
These files are in PEM format, which is a textual format for representing cryptographic objects like keys and certificates. The first one contains the certificate for your site, together with the "intermediate" or "chain" certificate that proves to clients that Let's Encrypt should be regarded as a trusted certificate authority. The second one contains your private key, which your server uses to prove that it is the entity to which the certificate actually refers. Certbot thought of these as "the full (certificate) chain applicable to your site" and "the private key of your site", while ZeroSSL thought of these as "the certificate for your domain" and "the key for your domain", but they should ultimately have the same content.
The first two files that you got from ZeroSSL might be useful when you have to renew the certificate (after 90 days!), if ZeroSSL asks for them. They aren't used in the actual operation of the site.