I know it's not a Z name but do you like Xanthe? It is pronounced zanthee. I think it's pretty and unusual...
Zelda, Zahara is a favourite of mine...

I would spell your choices with a H at the end so it's less like Henna..
Xanthe is an awesome name .

I love Zennah, not too keen on Zenah because I think people would be tempted to pronounce it Xena...

Zahra / Zahara is a favourite of mine but probably not out there enough for ya . I also like Arizona.