First consume the iterator returned by zip in the collate function:
def collate_fn(data):
    img, bbox = data
    zipped = zip(img, bbox)
    return list(zipped)

The error is self-explantory. collate_fn has to be callable or in layman’s terms a function.
my_loader = DataLoader(data, batch_size=8, shuffle=True, collate_fn=collate_fn)