Each book has their benefits. Lost World is based heavily on primary evidence (archeological, coins from the time, writings from the time, etc.) so its likely to give a pretty in depth understanding of the Bactrian kingdom under Seleucid and until its collapse. Thundering Zeus offers much of the same, however it seems it discusses cultural customs of Diodotus I and II and their empires.

I would argue that Lost World would offer more accurate information because it was written in 2012 and is therefore going to be filled with more up to date information compared to Thundering Zeus, which was written in 1999. Additionally, Zeus is only 248 pages and Lost World in 368. Holt probably uses those 120 extra pages to discuss more in depth the Bactrian Kingdom; however, don't discount Zeus as less important. I'm guessing when I say that Zeus was Holt's adaptation of his thesis, since that's his first book (IIRC, theses are typically adapted into full blown publications to become eligible for professor positions at universities).

TL;DR: for almost up-to-date information (This is his newest book: https://www.amazon.com/Treasures-Alexander-Great-Onassis-Hellenic/dp/0199950962, published this year versus World's 2012), Lost World would be best. For a grounding in Bactrian and Hellenistic history, start with Zeus.