Question:
i wanted to create a custom role in su01 where i want to allow only Ztransaction to be put in that role.
Answer:
The role is created in PFCG and you should list all the "Z" tcodes in the menu tab and configure SU24 to pring in the auhtorization objects required to run the tcode.
Your other option in to use SU92 and create a PROFILE and add an authorization using object S_TCODE and enter a 'Z*'. You Should be able to do the same in PFCG using the "add manual autorizaiton" button and enter a 'Z*' but it is not recommended.