Lincoln-Zephyrs were marketed over the 1936-1940 model years. With the demise of the large K model Lincolns, the Zephyr name was dropped and what had been the Lincoln-Zephyr was simply the Lincoln as of the 1941 model year.
The initial Zephyr design was produced 1936-1939. For the 1940 model year a largely redesigned body was placed in production which continued through 1948 with the exception of 1943-45 when American automobile production was halted due to World War 2.
All that said, let's consider that 1940 redesign.
here.) Changes visible here besides the ones already mentioned include a higher, reshaped fastback and the elimination of visible door hinges. Rear fenders look like they might be unchanged from 1939, but these are tack-on items and not intrinsic to the basic body.
The 1936 body was used for four model years, a fairly long life in those days. That factor perhaps along with the planned demise of K-series Lincolns might have led Edsel Ford to opt for a new, somewhat more substantial body. The result was not a great success aesthetically because it gave Lincoln-Zephyr a somewhat more ponderous appearance. Retaining the old-fashioned flat windshield feature was probably not a good decision. The same could be said regarding the 1938-vintage front end; it is lithe, contrasting with the heaviness of the rest of the car (which the large side windows do little to help).