It's your name (therefore your spelling), and it's not an unreasonable or difficult request, so I don't see that anyone can really complain no matter how you ask. That said, politeness never hurt anybody; my go-to would be something along the lines of:-
Afternoon Ms [Surname],
I've noticed a couple of times that you changed my name spelling on zoom. No offense, but would you mind refraining from this please? My name really is spelt Mackenzie.
...unless you feel it would need some more force or detail? As I said it's not a difficult or unreasonable thing you're asking, and it's perfectly natural for you to be concerned as your name is pretty much your most defining personal detail, so the teacher isn't likely to refuse or be offended.