X, Y, & Zee Lyrics
"X, Y, and Zee" is a 1972 British movie that's mostly famous for the Liz Taylor/Susannah York/Michael Caine threesome.
It's also the alternate name for the movie's theme song, also titled "Going in Circles", which became more famous when it was covered by Three Dog Night.
I don't think the PWEI song has anything to do with either; I think they just liked the title, which conjures up impressions of threes, and of the end of everything, and of non-Britishness ("zee" rather than "zed").
"I am he who is X, Y and Zee" is also a quote from the cult novel "The Dice Man" by Luke Reinhardt; which better explains the american use of "zee". The quote reflects the protagonist's depersonalisation as he experiments with using randomness to guide his life, actions and preferences.