This final letter is usually called Zee.
1797. Zounds, Im safe at zigzag zee.End of alliterative verses in the Farmers Museum: Gazette of the U.S., Phila., April 7.
[1830. I will teach you your alphabet from A to Zed and from Zed back again to A. Given as a Southernism.Mass. Spy, July 28: from the N.Y. Constellation.]
1883. The use of Zee is noticed by E. A. Freeman.Impressions of the U.S., pp. 834.