Given a family $\mathcal{F}=\{A_1,\dots,A_s\}$ of subsets of $\mathbb{Z}_n$, define $Δ\mathcal{F}$ to be the multiset of all (cyclic) distances dist$(x,y)$, where $\{x,y\} \subset A_i$, $x \neq y$, for some $i=1,\dots,s$. Taking inspiration from a Euclidean distance problem of Erdős, we say that $\mathcal{F}$ is Erdős-deep if the multiplicities of distances that occur in $Δ\mathcal{F}$ are precisely $1,2,\dots,k-1$ for some integer $k$. In the case $s=1$, it is known that a modular arithmetic progression in $\mathbb{Z}_n$ achieves this property (under mild conditions); conversely, APs are the only such sets, except for one sporadic case when $n=6$. Here, we consider in detail the case $s=2$. In particular, we classify Erdős-deep pairs $\{A_1,A_2\}$ when each $A_i$ is an arithmetic progression in $\mathbb{Z}_n$. We also give a construction of a much wider class of Erdős-deep families $\{A_1,\dots,A_s\}$ when $s$ is a square integer.