The September Roundel is out, and on page 114 there's and article called "2004 ZHP"

https://view.imirus.com/290/document/13205/page/116

At the end of the article, they explain BMW's thought process for the the ZHP name:

"Well, all the domestics have done so well with Z-codes -- Z28, ZR1, and so on -- let's call it Z High Performance ZHP."