Hi Alexis,
I have used the Zoom G2 for many years now, & in a gigging situation too. It is a great little pedal & should produce most of the 'Shads' tones & echoes that you will ever need, near enough to be imperceptible to any audience, other than Shads anoraks. I like it that much that I bought another, as a spare.
The first thing to do is to make the effort to study the manual. There is no alternative to making sure you know how your pedal does what it does. It does pay dividends in the end.
Secondly, make sure you have your leads connected in the correct way. I know it may sound a bit silly, but I too have made the mistake of putting the wrong jack in the wrong socket, especially in stage lighting, & of course, your signal path is interrupted. The guitar lead into the Zoom input socket, & the Zoom output patch lead into the amp input socket.
Thirdly, you need to choose the Clean amp model on the Vox, without too much Gain on it. You are, in effect, using two pre-amps in the signal chain. One in the Zoom & another in the Vox. This will distort the sound if the total gain is set too high.
All the best, Tony.