I would approach that more like this:

DECLARE @xml XML

SET @xml = (

SELECT

(

SELECT

'ZID' AS "@_Name",

'789' AS "@_Value",

'ZID' AS "@_ID"

FOR XML PATH('KEY'), TYPE

),

(

SELECT

ZLN,

ZTLA,

ZMR,

ZCLS,

ZPITIP

FROM #ZDL ZL

FOR XML AUTO, ELEMENTS, TYPE

),

(

SELECT

ZBN,

ZFN,

ISNULL(ZMN,'') AS ZMN,

ZLL

FROM #ZBL ZB

FOR XML AUTO, ELEMENTS, TYPE

) AS ZBS,

(

SELECT

ZSN,

ZCE

FROM #ZCC ZC

FOR XML AUTO, ELEMENTS, TYPE

) AS ZCC,

(

SELECT

ZPT,

ZPP,

ZNU

FROM #ZP ZL

FOR XML AUTO, ELEMENTS, TYPE

)

FOR XML PATH(''), ELEMENTS, ROOT('TEST_DATA')

)

-- Fix up the header; NVARCHAR hack

SET @xml = REPLACE( CAST( @xml AS NVARCHAR(MAX) ), '<TEST_DATA>', '<TEST_DATA xmlns="http://www.TestData.com/Schema/Test">' )

SELECT @xml x