You can use whichever you want – you can say ‘zed’ or ‘zee’ and it will not be wrong.
Generally, British say ‘zed’ and Americans say ‘zee’. Infact, most of the English speaking world says ‘zed’. It is derived from the Greek letter ‘zeta’.
Americans say ‘zee’ and it is believed to be following the same pronunciation pattern as b (bee), c (cee), d (dee), e, g, p, t, v etc.