Yes they do.
The British say 'z' as zed.
A zed is the letter Z, or something in the shape of a letter Z.
Because Americans are just wonderful like that. Because Zee is correct as it is short for the actual letter Zeta (pronouced Zeeta) as for zed is incorrect.
pronouce it "Zed"
zed
Zed to rhyme with bed
Zee is American And Zed is british. Zed is univerisal. The only people who say zee are Americans and those places colonized by American such as the Philippines.
In the United states, it is Zee Elsewhere, it is Zed
The British pronounce the last letter "zed", as do most Australians. Much more sensible than "zee" which can be confused with "cee" and other letters.
Adz, fez, zap, zed, zoo.
Merriam-Webster's Official Scrabble Dictionary recognizes zed as a valid scrabble word. It is worth 13 scrabble points.