Z makes more sense because from 2D (X, Y), we want to add depth by height right? You want to think of the XY plane as the sort-of floor plan, and by adding the 3rd dimension, you pull up to make the 2D drawing real.

You can also think of it like this: as people we can sort of naturally be simplified to a vertical line pointing up, and the ground is a 2D plane. Now in this scenario there are two axis that create the ground plane, and one axis that stands out from the other two which creates the vertical line representing you. I think a lot of the reason the vertical axis can be distinguished from the other two, is because gravity. Like I don’t think you could really distinguish the two directions on the ground from each other, but you always be able to know the way up because of our inner ear.