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Please tell us what Adobe application you are using so that this can be moved to the proper forum for help.
One way to draw a zig zag line is to first draw a straight line. Select the line and choose Effect > Distort & Transform > Zig Zag.
You could also draw zig zag lines using the Pen tool.
If you are drawing the zig zag lines with the Pencil tool, that is a freehand tool and the lines do tend to get rounded, even if you change the settings for that tool.