The LM335Z is not a zener diode, not even remotely. Its a complex integrated circuit involving a callibrated pn-junction to measure thermodynamic temperature and an op-amp to boost this signal and provide an output voltage controlled by the sensor. It cleverly arranges that this output voltage is also the chips supply voltage.
The datasheet says you can think of it as a zener, but that's sloppy language. It performs much better than a zener diode in fact to load changes. The datasheet also shows the 16 transistor circuit schematic of the chip - you tell me how that's going to behave if you swap v- and adj!!
If you've reversed it then any behaviour might result. You photo isn't good enough to be sure but it certainly looks like you have them backwards - check the pinout carefully.