I don't know Spanish, so I have no doubt but that you are right in saying that the Spanish pronounce the word in the way described, but that doesn't mean English speakers are obliged to follow suit!
In fact, both The Oxford English Dictionary and Chambers Dictionary definitely give the z format, whilst the Bloomsbury Dictionary offers both z and th with the z first...ie it is the commoner of the two pronunciations here.
Apparent mispronunciation of foreign words is frequent and I'll bet there are loads of English words that the Spanish don't pronounce as we do. It doesn't make them wrong...it just makes them Spanish! If the French want to call London Londres, let 'em! They're not wrong, they're French.