After the mugging, Marshall is embarrassed to tell Lily he was robbed by a person, fearing she’ll think he’s "weak" and insist they buy a gun for protection. To avoid this, he claims he was actually at the zoo. The Escalating Lies

Marshall realizes that if he sticks to the monkey story, the zoo might have to euthanize the animal. If he tells the truth, Lily will be terrified of the city. The Resolution

The "Zoo or False" theme highlights Marshall’s desire to protect Lily’s sense of safety while balancing his own pride.

To stop Lily from buying a gun, he claims a monkey cornered him and stole his wallet.