What you described is low pressure with one zone open and higher pressure with two zones open. Pressure and flow are Inversely proportionate, meaning, when flow is increased, pressure decreases. When flow is decreased, pressure increases. Opening the second valve increases your flow, which will decrease your pressure. I realize this is not what you're experiencing, but that is the way it works.
Is there a square box on the side of the pump with a small diameter tube running to it? Better yet, what is the model # of the pump? I'm almost positive you're dealing with a pressure switch!
Have you listened to the pump while running a single zone? Does it stop running for a few seconds while the zone is watering?