I was surprised to see in my statistics that a lot of people ended up here looking for an answer to the above question. Why such a difference between the pronunciation and the spelling of Mr Menzies, one of the people hoping to become leader of the Liberal Democrats following Charles Kennedy’s resignation? I thought I might as well give the answer, just to spare eventual visitors more disappointment:
Blame the “yogh”, or , a letter in old English and Scots which has no exact equivalent today. Pronounced "yog", it used to be written a bit like the old copperplate-style “z” with a tail, which helps explain the discrepancy between the spelling of Menzies and the pronunciation.