Hi Deane,
Why would you want to use the headphone out of the Korg , it has a full stereo LINE OUT next to the headphone out. You should not have any distortion connecting this line out to your line in on the Zoom. You can then trim the recording volume probably in two ways, first with the volume sliders of the Korg ( cause I seem to recall they respond to the line out as well ) and of course with the recording level on the Zoom recorder.
regards,
John