The same difference that every main tier has - usage.
Tiers are based of usage. A Pokemon that is used a lot is Over Used, used less it's Under Used etc.
PU is for Pokemon that have usage in NU but is under the 3.42% used cut off line.
ZU is the same for PU. Any Pokemon that can be used in PU but is used less then 3.42% usage in the tier is ZU.
Untiered basically just means that there isn't a tier below ZU. Something that is used less than 3.42% in ZU is untiered, it's used so little even in the lowest tier that it doesn't have one.