I think Misaki's answer is good.
"Unfortunately" is an adverb, so in Japanese "zannen nagara," or "zannen na koto ni,"
We don't say only "zannen" as an adverb.
"Unfortunate" is an adjective, then we say "zannen na + noun"
Its ordinal word "zannen" is "形容動詞" in Japanese, and it's hard to explain because English doesn't have such a term. Or, 形容動詞 is a part of adjectives and we divide adjectives into an adjective and 形容動詞.
I'll be glad if it would be helpful for your understanding.