What happens if a Pokemon with Rescue Energy attached is Knocked Out by an attack that normally sends cards to the Lost Zone?

The order of resolution for the effects can be decided by the owner of the Pokemon with Rescue Energy attached to it. So the Pokemon can either go to the Lost Zone and stay there, or use Rescue Energy to return the Pokemon to your hand. Any other cards such as Energy, Tools, etc. would still go to the Lost Zone if the attack specifies.

Relevant cards