I think you cannot simply cancel that as it is a Windows function/feature and that you'd have to use Undo in order to cancel that change. However, you could end up undoing the whole record since the event applies to the form, not the control. If that were an issue, you'd need to know which control needed to be undone and run that event for the control only. If adding undo to your code doesn't work, I would use keydown, not keypress as I know that event works with undo. Also, I might use the key constants vbKeyZ and acCtrlMask rather than numbers.
This sort of thing is almost impossible to test/troubleshoot because it will fire once for each key pressed as it's almost a sure thing that both keys will never make contact at the same millisecond in time.
EDIT - just tested Me.Undo vs Screen.ActiveControl.Undo
1st one seems to do what you want. 2nd one does not. That undo restores what was there, which basically allows ctr+z to restore what was deleted. That's strange.
The more we hear silence, the more we begin to think about our value in this universe.
Paraphrase of Professor Brian Cox.