You can take my game… when you pry my cold, dead fingers off the board!
The rules actually do say you keep it in play:
Some cards are listed as Keyword Escorted as the Type. In the main game the only card like this is Nazi Gold. Escorted is not a full Type of Enemy, but rather a modifier. As noted on these cards, when drawn, another card should be drawn as well to find the actual Enemy that must be fought. It is possible to have multiple Escorted cards drawn in a row, just keep drawing and adding them together until you get to a normal Type of Enemy.
Note also that Escorted cards are NOT re-drawn in ‘Infantry Only’ cases as noted above (as they are only a modifier, not the actual Enemy).
The actual Zeppelin uses the standard Nazi Soldier... so this would only occur with the Danger card.