The governor is cut on his neck while shaving, drawing a large amount of blood. He dabs it with a cloth one time and the blood is completely gone. A wound that produces that much blood would take much longer to stop bleeding. and there would still be a visible mark.
Mr. Vanderveen sends his assassins from New York to California by boat, telling them they will cross through Panama. The Panama Canal wasn't built until 1904, 80 years after these events take place. Prior to that, there was no waterway through Panama. Travelers would have to cross on land or sail entirely around South America.
The wanted poster for "Zorro" shows a drawing of Nah-Lin is the mask and hat. No one who's seen her operating as Zorro (apart from the Natives) has lived to give a description. The government agents are still under the impression that there is only one Zorro, and that Zorro is a man.