Sly as a Fox
Zorro is sort of a Spanish Robin Hood, defending the less fortunate from those who do them harm. So when Amélie leaves Collignon's apartment after leaving a variety of traps for him inside, she conjures up an image of herself as Zorro, leaving a trademark Z in the door to humiliate the cranky old grocer.
This isn't just a one-shot thing, either. Amélie later dresses as Zorro in a disguise—the kind of disguise you can see right through, like Clark Kent's eyeglasses—when she takes a picture for Nino as a clue. It's her way of seeming mysterious to him, but not so mysterious that he'll never figure out who she is. When he gets to the café, Nino recognizes her instantly. If she really didn't want to be identified, she'd have given him a picture of Antonio Banderas.
Amélie's Zorro costume is sort of a half-measure, then. Sure, she gets to show Nino an aspect of her identity she thinks is important, and sure, the costume isn't so fancy that he can't recognize her. But it's still a costume, right? At this point, she's still not ready to show Nino herself, without any disguises or games. That will come later.