I am a personal fan of Zumba. I absolutely love it!!!!
Now, speaking as a daughter who has been trying to get my mother to join : If your daughter is asking you to go with her, she isn't going to be embarrassed by you. Zumba is a fun activity. I would say go and don't worry about embarrassing her, it usually is a really friendly environment.
For your worries about your weight and knees : Let the instructor know that it is your first time (or your first few times) ever going to Zumba. You can position yourself at an edge of the room so you can take a break when you need to. Also, let the instructor know at the beginning of class about your ankles and knees, they will let you know modifications.
Zumba is a an activity where people of all sizes and ages can get a great workout and move within their individual capabilities. It really is a fun activity. I would say try it once and if you don't like it, it is okay. You can also try to find out if your daughter's gym has a beginning Zumba or an easier level. Sometimes it doesn't say that it is an easier level but different instructors move at different paces. You will be fine at your weight, it is completely doable (just make sure you communicate with the instructor beforehand).
If you decide to try it out, let me know how it goes!