OK. Z is not a Japanese character, its English. According to Bulbapedia, https://m.bulbapedia.bulbagarden.net/wiki/Z-Move
It appears to be a "Z" followed by the Japanese word for move.
Therefore, in USA, it would be pronounced 'zee'. That is the correct american English pronunciation. In Canada, it would be 'zed'. Since 'z' isn't Japanese, there can be no truly correct pronunciation.
The Japanese language has no rules that govern the pronunciation of 'z', therefore, the English pronunciation is correct.
But there is more than one, so...