History of choice of 'Z' to represent high impedance?
'Z' is the electrical symbol for impedance.

(See https://en.wikipedia.org/wiki/Electrical_impedance)

Digital electronics has been using the terms like 'high Z' and 'hi-Z' for decades to mean 'in high-impedance state' or 'in tri-state'. It pre-dates VHDL.

So it's a logical step for 'Z' to be used as the single character notation for std_logic etc. for a signal in its high impedance state.