Nietzsche specifically chose to name his character Zarathustra because he (Nietzsche) viewed him as being the first person to introduce the concept of Good and

Nietzsche specifically chose to name his character Zarathustra because he (Nietzsche) viewed him as being the first person to introduce the concept of Good and Evil. Thus he should be the one to transcend it, according to Nietzsche. In other words, he chose the name because it represented exactly the mentality he wanted to overcome.