Here in Australia where we also pronounced z as zed not zee, I’ve never heard anyone say zed zed top and it’s always zee zee top. However, while I personally would too rarely find myself on a conversation about Jay-Z to be able to gather enough data to form a conclusion, I vaguely feel like I’ve people both say Jay-Zed and also Jay-Zee though I’m not quite sure.
I think the thing is, without being able to explain why, Zed Zed top just seems too obviously not the intended pronunciation that it’s just a no brainer to interpret it as Zee knowing that they’re American and American culture being so ubiquitous that everybody knows you guys say Zee. Jay Z theoretically should fall under the same rule but I think it’s easy enough to say Jay Zed without it feeling weird and wrong that same people might opt for their familiar Z pronunciation over the source Z pronunciation, though I’d say it’s not typical.