The scenario says that dynamite will kill/injure the zombies, but does not say one way or the other about the Zombie Lord.
If the player throwing it is holding the Medallion, should the dynamite do damage even though it is not strictly a Might attack?
I assume you mean Haunt 21 (not 61). The Secrets of Survival seems pretty clear on this. "You can only damage the Zombie Lord if you have the Medallion. The Medallion holder does not need to use a weapon to damage the Zombie Lord, but any weapon he or she wields can damage it. [...] The attacks of Heroes who do not hold the Medallion have no effect on the Zombie Lord (they do not stun him)."
Also see this earlier thread: Haunt 21