Yes this is a rather silly question. I know Zacian and Zamazenta are apparently from cyan and magenta, but that’s literally all the name origins I could find, which seems lacking.
Do the Zs mean anything? I’m tempted to believe hey just added to make it sound cool lol. (I’ve also heard that the word “the” with a Japanese accent sounds like “zah” but I don’t know why that would be in their names.)
Zacian and Zamazenta come, specifically, from “the cyan” and “the magenta” (as human witnesses long ago would describe them by these traits). Because Japanese doesn’t include the “th” sound, it’s replaced with a similar equivalent when trying to pronounce loan-words in Japanese, in this case, “za.”
This was confirmed in an interview with Game Freak by Game Informer.