The Indo-European root of the word Zeus was dyeu*. In Ancient Greek, the 'z' sound, signified by the letter zeta was pronounced with a 'd' sound, either before or after the 'z' sound, and anal textbook authors can probably argue for days whether it was a 'zd' sound or a 'dz' sound. But I digress.
In Greek, the 'd' sound at the beginning of dyeu* becomes 'zd' (or 'dz'), and becomes coupled with the nominative ending of the third declension, turning into zdeus (or dzeus).
The truly interesting thing about this is that the same root, in Latin became 'iu'. The nominative for this word would probably have been **ius**, but this is never used, because the 'humble' Romans always referred to him as "Zeus, Father," much as Christians (and many many others) refer to their god. But calling him Zeus-Father, the vocative-- iu gets coupled with the Latin word for father pater, and his name became Iuppiter
There are many disputed alternate forms of the word Zeus in Ancient Greek, such as Zan. The Early Greek author Pherecydes wrote an alternate cosmogony to the traditional myths that we learn in school. In his book, he referred to a god called Zas. This slightly altered form of the word Zeus actually gives a much more sensible, allegorical, meaning to the word. In that form (Zas), it becomes a nominal form of the Greek verb za'o: to live. In essence, then, Pherecydes thought of Zeus as Life, and rather than try to wrap one's mind around the concept of how some of the gods, who live, can come to be before Life itself is created, placed the 'birth' of Zas before that of any other.
On the whole, Pherecydes' book is rather bizzarre, and is sometimes grouped with the Early Greek Philosophers because his work is so difficult to classify, and because there is so little of his work surviving.