The first Z with the book is where the letters have a happy ending and then we zoom out and see it was all a book Z was reading, then he falls asleep. His whitish color matches with X and Y. The second, zebra Z? Our heroes hop onto him and ride off into the sunset. That's how movies end a lot, right? As for the last Z, the orange one with the (badly made lol) Thanos gauntlet... look i had a dream last night where z came out and looked like that i thought it made sense at the time ok? As for the zee vs zed discrepancy... 1) Z can say both "zee" and "zed", saying "zee zed zed zee zee zed, zed zee zee zee zed zed". 2) When Z speaks, it sounds really vague and could be interpreted as either zee or zed. (my favorite personally) 3) (credit to @LiterallyJust-Y and lekoicy for this one) Z has the " gem allowing them to speak English, they never ever say their name. 4) Z just only says one of the two names and anyone who uses the other name can just accept it.
Credit to Mike Salcedo and @PhonicLover44. https://www.youtube.com/watch?v=M0deOMslzXY&list=PLYafCq0OJebgfBPk3PuY-Yjj2Lnh7PHGd