My main critiques I have for this team is that you really only have 1 strong Dynamax target, and without an offensive item like a life orb or weakness policy, it's hard to to do a lot of damage with Moltres, especially when you have no redirection to help it get nasty plots off consistently. Additionally, having 2 water types isn't the greatest, especially since Gastrodon stops Urshifu from using surging strikes. Furthermore, both of these Pokemon aren't exactly the best water types in the format.
With this in mind, I'd suggest Lapras over Gastrodon, as it is immune to Kyogre's devastating water-type attacks (water absorb) like Gastrodon, gives you another strong Dynamax candidate, and sets screens for Zacian. "Lap Dog" is popular in high-level VGC because Zacian already has such great offensive stats that it can pick up the slack for Lapras' lackluster ones, and since Zacian is so powerful already, the extra bulk from aurora veil make it too hard for many teams to deal with.
Over Urshifu, I'd suggest some sort of support, since Lapras is a little slow and can oftentimes get taken advantage of if you don't have proper help for it. There are a couple of different kinds of support you could opt for:
Redirection: Amoonguss is a popular partner to Lapras because it resists most of Lapras' weaknesses and can get lots of spores off because it's so bulky while in Aurora Veil. When using Amoonguss, generally a bulkier light clay Lapras set with dual STABs, protect, and perish song is preferred, since it won't do as much damage but can stick around until the end and get Perish Songs off.
Tailwind: Tailwind is for if you like to play hyper offensively, generally with whimsicott as the tailwind setter because of fake tears. Usually a fast life orb Lapras with 3 attacks is used here to deal as much damage as possible and use your strong non-dynamax mons to clean up in the back.
Comfey: Comfey is used with a slow Weakness Policy Lapras to set trick room, activate Weakness Policy with priority giga drain, and use floral healing and/or ally switch to make Lapras unkillable.
Of these 3, I'd probably suggest Amoonguss, as it's a more consistent mon in general and also helps Moltres get nasty plots off, but it's really up to you and your playstyle. One last thing I'd suggest you'd change is move choice: Wild Charge is usually better than play rough on Zacian since it breaks through bulky waters and hits the dark type birds almost as hard without the miss chance, whereas Nihilego already has Rock STAB for Lapras and the birds and poison STAB for Tapu Fini, so Power Gem is preferred for once you've used your Power Herb. I hope this helps!