if he brought his headshots with him, maybe he was on his way to an audition, or at least believed that he was. I don't think that this was a planned hookup gone wrong on the trail based solely on him leaving with his headshots. Zero reason to bring them to a casual encounter.
Actually, the headshots are a perfect cover.
If Zelig didn't want his family to know he was on his way to a casual hookup, then he could've used the headshots as an excuse to leave the house. No one would think anything of it, other than maybe he just needed to print or mail some extra copies.