I've known
Zoe pronounced ZO as a name for a dog a classmate of mine named when she was in kindergarten, but that's it. However, I also know a Zoë who is very annoyed whenever someone pronounces it ZO because her name is spelled with the umlaut.
In the end, I guess you could pronounce a name however you want if it's your own name--like I could insist my name of
Hannah is pronounced 'potato' if I really wanted to, so I guess it isn't necessarily strange if that's how your mother and roommate wanted it to be pronounced.