Hey, the lightbulb just went off in my head....
What if Zanny is Amy. Maybe Caylee pronounced Amy as zanny and thats where the name came from.
I really don't think so. Good thinking but I just don't know. My oldest's name starts with a Z. I have 3 little ones that are 14+ years younger than him. Each of them have been unable to pronounce the Z until much older. It started out as a D sound at first. The 3 1/2 yr old still says it with a D. JMO, though.