From the Super Mario Wiki
Zero is the masked hero of El Desert Land. She is a rather experienced swordswoman, and, although known as an outlaw, she is only labeled so because of El Koopitan being the "law" force. Zero only appears in a The Super Mario Bros. Super Show! episode "The Mark of Zero." She is a parody of Zorro, and looks similar to him. She marks all of her enemies with her signature "0" mark, another trait she shares with Zorro (his "Z"). At first everyone thought that Zero was a man; however, the end of the episode reveals that Zero is female and that she is the girl at the beginning of the episode who sold Mexican food to the brothers.
In the episode she is kidnapped by El Koopitan and the Koopa Pack, consisting of several Koopa Troopas, led by Mouser. The town of El Desert Land is not safe without her, so Mario and Luigi dress up as Zero and go save her from El Koopitan. She is saved, making El Koopitan run out of town at the end of the episode.