New MacBook Air delivered today and can't create a virtual background in Zoom (I am a teacher thus the reason I purchased this computer). Is there an upgrade I can do to make this happen? 13-inch, 2020, intel core i3 processor, version 10.15.4

The following support article from Zoom specifies i5 or higher for the processor. The MacBook Air with the i3 option is new so I don't know whether they tested it or not. You may want to review everything else in the article before concluding that the i3 processor is the problem. On the other hand I have read many reviews that strongly recommend spending an additional $100 for the i5 processor when purchasing the MacBook Air. You may want to consider returning yours and buying one with the i5. Apple has a 14 day return policy when purchasing directly from them.

Zoom support article: https://support.zoom.us/hc/en-us/articles/210707503-Virtual-Background

Apple return policy: https://www.apple.com/shop/help/returns_refund

The current release of Zoom is: Version: 5.0.2 (24030.0508). What happens when you try to create a "virtual background?" Zoom>Preferences...>Virtual Background.