The 12 volts input is stepped down to 5 volts by the regulator. If the regulator goes faulty, 12 volts could be applied to the load, damaging it.
However, if the regulator output goes above 5.1 volts, then the zener diode conducts. Current flowing through the resistor provides a voltage across it, which triggers the gate of the thyristor. The large current through the thyristor blows the fuse and protects the load.
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