Australians and New Zealanders also say zed. It sounds correct to me saying zed. Zee doesn't make any sense

In most of the English-speaking world (in other words, everyone except the US), [i]zed[/i] is the preferred pronunciation of the letter, being derived from the Greek letter [i]zeta[/i]. The fact that Americans use [i]zee[/i] instead of [i]zed[/i] has caused some arguments with Brits, much as our variant of written English does also.