We perform Zeeman spectroscopy on a Rydberg electromagnetically induced transparency (EIT) system in a room-temperature Cs vapor cell, in magnetic fields up to 50 Gauss. The magnetic interactions of the |6S1/2 Fg = 4> ground, |6P3/2 Fe = 5> intermediate, and |33S1/2> Rydberg states that form the ladder-type EIT system are in the linear Zeeman, quadratic Zeeman, and the Paschen-Back regimes, respectively. We explain the dependence of Rydberg EIT spectra on the magnetic field and polarization. The asymmetry of the EIT spectra, which is caused by the quadratic Zeeman effect of the intermediate state, becomes paramount in magnetic fields ≥40 Gauss. We investigate the interplay between Rydberg EIT, which reduces photon scattering, and optical pumping, which relies on photon scattering. We employ a quantum Monte Carlo wave-function approach to quantitatively model the spectra and their asymmetry behavior. Simulated spectra are in good agreement with the experimental data.