Did the Prophet, may Allah bless him and grant him peace, love Zaynab, and tell Zayd to keep her, then Allah married her to him? Is this a correct belief or merely a delusion?

As long as you did not utter anything, then there is nothing against you, for the Prophet, peace and blessings be upon him, said: "Indeed, Allah has pardoned my Ummah for what they whisper to themselves, as long as they do not act upon it or speak of it." What your soul whispers to you has no validity. What the Messenger, peace and blessings be upon him, concealed within himself, for which Allah reproached him, was what Allah informed him of: that Zayd would divorce Zaynab, and that he, peace and blessings be upon him, would marry her. Therefore, Allah Almighty said: "And you concealed within yourself what Allah was to reveal," and this is what Allah Almighty revealed.