This clip from YouTube (https://www.youtube.com/watch?v=BKAM-RS1sHY), featuring Zasu Pitts and Thelma Todd, gives the pronunciation as "zeɪsu." Curiously, Thelma Todd pronounces it both as zeɪsu and seɪzu.(This is from my own comment on the Talk page of the Wikipedia article.)
(This is from my own comment on the Talk page of the Wikipedia article.)