In the Men in Black films Zed is called "Zed" (obviously...). However, the letter Z is pronounced as:
- Zed: This appears to be the common English form from the UK, Canada, Australia etc.
- Zee: This appears to be the American-English version used widely in America.
Men in Black is set in New York, USA and as such you think they's use the American pronunciation.
Looking into this further the wikia on the agents lists them as K, J and O etc. All apart from Zed who is listed as Zed so he could be a special case. However, imdb lists them as Kay, Jay and Zed so it could just be that the wikia is incorrect.
From an out of universe perspective it also makes sense for them to have used Zee as the actor who played Zed Rip Torn, the director Barry Sonnenfeld and the writer Ed Solomon are all American.
Lastly, the comics, that the film was adapted from, was American and written by an American Lowell Cunningham. Note that he also appears to be called Zed in the comics.
With all this information why is Zed "Zed" and not "Zee"?