Sounds like that test has already been linked to another test item in your Execution Plan. You cannot link a single Zephyr test to more than one test item in TC. However, you can add more than one Zephyr test to a single test item in TC, provided the Zephyr tests have not already been linked.
I also don't see any Jira items selected in your 'link external cases' window - did it disappear after you clicked Finish? I assume you have already set your project properties in TC to reference your Jira project and tested the connection?