"Zed" is that dude from men in Black played by Rip Torn, not a letter.
Yeah. K was Tommy Lee Jones. J was Will Smith. Z ("zee" to Americans, "zed" to everybody else) was Rip Torn. And I guess there was D who was Richard Hamilton.
Imagine conversations with Agent U. "Hey U!" "Who, me?" "Yeah you!" "I wasn't assigned to this task, you were." "Yeah, U, which is you!" "Not me, you!"