Am in Australia, we use 'zed' for the letter 'z'. but it's different for the band, as that's a proper name. You go with the pronunciation of the owner of the name.
My buddy once showed me a funny interaction in the comments under a Top Gear video about the Corvette Z06. Being from the UK, the called it the Zed-06. But someone in the comments claimed that it should be pronounced Zee-06. The conversation went something like this:
"Why does he keep saying Zed-06? It's Zee-06."
"Because in England, where this video was made, we say 'zed'"
"Well, in America, where the car was made, we say 'zee'"
"Well, in England, where English was made, we say, 'zed'"
Exactly this. Unless I am intentionally being an arse by refusing to read American products which rely on the Z being read as "zee" to work in the intended pronunciation. It's the little things that make life worth living, y'know.
It's the same with English speaking countries and Rammstein. We say Stein with a normal sss sound but when it's the name of the band it goes to the German shhh sound.