* It's a dealer-installed option or a misremembered code: The code might refer to a specific dealer-added accessory package or a similar modification.
* It's a typo or incorrect information: Double-check the source of the information. The correct code might be something similar, but slightly different.
* It's specific to a very limited production run or a regional variation: While unlikely, it's possible the code was used for a very specific configuration in a small number of vehicles.
To find out what a specific code means, you'd need to provide more context, such as the year of the Avalanche and the source where you saw the Z66 code. The best way to determine what options are on a specific Avalanche is to check the vehicle's build sheet or the original window sticker.
