Here's an alternative procedure:
1. Get a very large sheet of paper, and cut a Waldo-shaped hole in it.
2. Get some more paper, and paint a picture of Waldo on it.
3. Paste your image of Waldo on the back of the paper you prepared in step 1.
4. Place this composite over a Where's Waldo book.
5. You've found Waldo!
If you can't tell where the book is, there is no evidence that the image of Waldo is part of the book.
see my other comments -- the idea is that in each round you should be able to verify the construction (there's a Waldo-sized hole and the correct book and page when the pieces are separated) or the proposed solution (Waldo through the hole) but never the offset of the book and hole (because then you can deduce where Waldo is).
a cheating prover (utilizing your strategy, or just Waldo from a different book or whatever) would try to guess which one you will want but only has probability 1/2 of succeeding. through iteration the verifier can be exponentially increasingly confident that the prover knows where Waldo is.
In a real ZK proof the probability of the prover lying reduces after each iteration but never reached 0.
but your concern is invalid to begin with. nothing in the definition of a zkp requires them to be multi-round interactive. there exist non-interactive zkp.
the paint-mixing analogy of diffie-hellman also can't be done over the phone, but it helps people understand how a shared secret can be established even if all communication is intercepted
> the analogy is to introduce the concept of proving something to a verifier without giving the verifier the solution
Yes that's what I said.
You could take a piece of paper (much larger than the picture/book), and cut out a waldo-shaped hole it and position the paper such that he is shown in the hole. Then, when you show it to the challenger, they know that you have found him without you revealing where he is.