(heh heh heh hehehehe)
Think about it. I have. On long journeys up escalators. In supermarket queues. While addressing postcards. Whither the "Cz"? I mean, the Czechs don't do it - they invented a handy little hook called a haček (rhymes with hatchet) to do the job. They speak Čestina in the Česka Republika, děkujuverymuch.
Their European neighbours aren't too bothered about creating extreme orthographic weirdness despite the sound not being a standard in some of their languages. They just cobble together a few random consonants and leave it at that. Thus "Tchèque", "Checa", "Ceca", "Tschechien" (Okay, maybe the Germans...). Or they fake it as best they can with exotic-sounding versions like: "Tsekki" "Tjecken" and "Txekiar".
But these languages use the same clusters of letters (aka digraphs, trigraphs and assorted multigraphs if you're in a pedantic mood) for similar sounds in other words, even if they're loaned ones. Whereas Czech? Well, there's "Czech" and ermm… "czech", and ermmm… "Czerny". If you're of a musical bent. And he was Viennese of Bohemian origins. Well, they did think about these things differently back in the day. After that exhaustive list, we're pretty much left with "Czar". Which you say "Tsar". As in "Twinkle, twinkle, little Tsar." (Hahahhhaaahhaaahahaha)
But if it's not from the Czech, and it's not from some weird English historical thingy, what is it? According to various online dictionaries it's actually 19th century from the Polish. Unfortunately, I don't have handy access to the OED, so no citations or anything. But why Polish?
Digging a bit, things actually get more interesting. Since it kicked off around the 10th century, Czech's pretty much always been usually written in Roman letters, rather than Cyrillic, but is full of sounds (aka phones) that don't exist in Latin. So after getting annoyed with just writing the letter closest to the sound they wanted, people invented clusters of letters to represent these sounds. Like English does with "th". But whereas English uses "h" to indicate that the preceding letter should be softened, it seems that Czechs used the letter "z" to do the same job. Hungarian and Polish still do this, which accounts for those eye-popping words that seem to twist their tongue in the face of human physiognomy.
Buuuuttt… then along came a man called Jan Hus. (Sounds like "house" and "moose" in a really bad fake Scots accent). In between sermons, rabble-rousing, reading Wyclif and generally making a nuisance of himself to the Holy See, he apparently found time to pen the stirring work, De orthographia Bohemica. Well, it's at least attributed to him, and since he was immolated (nice word, nasty death) at Council of Constance in 1415 he hasn't been in a position to confirm or deny things for quite some time. In it, he proposed a system of diacritics (little dots and slashes above letters) that would almost completely replace diagraphs. From now on Czech, sorry, Ċech (he left the "ch" in) schoolchildren would no more cower 'neath the tyranny of silly spelling rules. Well, that was the plan, anyhow.