Poke Stadium 2 is iffy for Diddy, although Poke Stadium 1 is pretty good for him. He can SH Z-catch bananas on the small platforms, and the transformations give him opportunities to banana lock. Realistically it doesn't happen much, but they can make it pretty hard to approach him (the Earth one especially).
How good is Zelda on Brinstar? Diddy alone is iffy on the stage, although some characters can abuse them to their advantage. With Zelda (this is just theory craft, so ignore it if I'm completely wrong) but you might be able to camp behind the match and use Din's Fire for a bit longer than normal. The terrain makes his normal banana control different and kinda odd, and breaking the mesh and forcing him to recover from the center can make his recovery more punishable.
Don't take Diddy to Norfair. He isn't LOLGREAT on the stage, but he doesn't suck there either. If you suffer on Norfair, don't take him there. If you're good on Norfair, consider it, but it sounds like Zelda isn't good on Norfair.