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The Network > SSH Timeout and Network > Hung Connection Timeout preferences may be relevant if it's actually timing out. Also if it's specifically the debugger timing out then Debugger > Network > Network Timeout preference.
However, it may could also be the debug process is crashing or something else. To diagnose this, send a bug report from Wing's Help menu with the error log included right after replicating the bug. Then also immediately send ~/.wingpro8/remote-agent.log (or ~/.wingpro7/remote-agent.log if using Wing 7) from the Pi Zero. We may then also ask for debugger-specific logging, but those two are the start at diagnosing problems like this.