Not really time to give up, I bet there are a few, why there is a lighthouse near Zanzibar for example. While the official name of it isn't the Zanzibar lighthouse, I feel quite sure that it is called that a lot. And I believe there is a newer one in the area (maybe North end of Znazibar) besides the historical Chumbe lighthouse on Chumbe Island right off the coast of Zanzibar: http://www.tanzania-web.com/zanzibar/chumbe.htm
I also suspect there may be a Swedish or Polish lighthouse that starts with a Z, I know they start with about every other letter.

SaintWackoPaul '
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Onward to The Land of the Midnight Sun!