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"Zephyr" was the title used by the Chicago, Burlington and Quincy Railroad (CB&Q - Burlington Route) for most of its diesel hauled express trains from the mid-30s. The first Burlington Zephyr was the Electromotive Corporation (later GM-EMD) articulated unit shown in Rhino's post (#11). The success of this unit led the Burlington to order more. However, the technology was developing so quickly that the articulated units were superseded in a couple of years by EMD E-units and more conventional, non-articulated coaches. They did retain the stainless steel finish.
The "California Zephyr" (CZ) was operated jointly by the Burlington, the Denver and Rio Grande Western, and the Western Pacific to link Chicago and San Francisco (Oakland). Unlike Union Pacific and Santa Fe the lines that operated the CZ didn't have their own routes spanning all the way from Chicago to the coast. The CZ began running in 1949, and like other Zephyrs was characterised by its stainless steel coaches. By the 1950s the Denver and Rio Grande portion was hauled by GM-EMD F-units like those announced by LGB. However, the coaches announced by LGB are not CZ coaches as they are smooth-sided Pullman-Standard lightweight cars, rather than the characteristic Budd corrugated stainless steel cars used on the Zephyr. The train set as presented by LGB more closely resembles the D&RGW "Prospector".
Quite right!