Ultimaker Cura 3.6 choosing to fill in narrow walls with diagonal striping
All slicers have their own peculiarities, and one of Cura's peccadilloes seems to be that It likes to generate an even number of shells for narrow structures, even if an odd number of shells would work nicely. Slic3r and Simplify3D have no problem with this, and will automatically generate an odd number of shells if they will fit the model.

Cura, on the other hand, will reduce the number of shells and generate infill. If you have set the infill percentage to less than 100%, it will try its best to fulfil that requirement, and in your case, generate zigzag infill. However, if you set the infill to 100%, it will, in effect, create an additional shell, although it is really infill that follows the direction of the walls as far as Cura is concerned, since there is no space to generate the specified infill pattern pattern.