Z is a planet in the shape of the letter Z and is the home to every other letter that existed. Z saw what happened to F, and cried after watching his descent into madness, showcasing their apparent compassion for the rest of the letters. Technically, it's gems (...) are its three moons, since it’s the planet.
The way it says it name is a reference to the two ways you can say Z ("zee" and "zed"), as well as sounding like ''ze end'' or "zeed". Z is the only letter whose tongue is a different color