"Z" is for Z-Twist
When the single thread was spun in a clock-wise direction a "z" twist thread was made.
In India, cotton is always spun with a "z" twist which causes greater shrinkage in the setting process. According to tradition this makes the resulting thread stronger. (Swatch Page, Spinning Helps & Hints, no date given).
Two z-twist threads plied together in the s-twist will give a very stable yarn.