I've always kind of figured that some words and proper names containing a Z have what I call an "integral zee" or "integral zed". Basically, where using the other form of Z just doesn't sound right.
For example: ZZT, Dragon Ball Z, and Coach Z have integral zees. ZX Spectrum has an integral zed. ZPM (zero-point module, Stargate) has a variable Z (and Rodney seems to like to make a point of that).
I'm trying to think of what else would have an integral zed.