When tpreparing the zoom lance, for assembly, you may have accidentally pushed the inner tube inside the body prematurely, making inserting the the u-pin impossible. This can luckily be fixed quickly, as illustrated below.
When the tube has been pushed prematurely inside the lance it will look something like this:
By attaching the loose end to the tube, you should be able pull out the tube.
Push the top into place with your hand:
When the end is in its place, rotate it to the right:
And then you press the green button at the top of the lance, and pull the tube out:
You should be able to see through the lance, where the u-pin is supposed to be, so that you know it is properly attached.
Push the u-pin in as far as you can with your thumb: 
If required for the last bit, you can use a hammer (gently!), water pump pliers or something similar from around your home. Push the U-pin down it is completely inside, flush with the casing of the lance:
Good luck with your AVA Zoom Lance!