The story
From trademark Zumba created by the Colombian Beto Pérez. He wanted to call it "rumba", but this name was already taken for the Cuban musical genre and could create confusion. So he and his partner began to try initial letters until they liked "sumba", but Beto Pérez decided to write it with "z" because he liked the fictional character Zorro when he was a child.
Etymology from Wiktionary, CC BY-SA 4.0.