From instruction (page 5):
When a threat gets to the end of its Trajectory Board it performs its Z
action and can no longer be affected by the players’ actions. The players
have “survived” the threat. Give its card to the communications officer and
remove its token from the Trajectory Board. It will take no more actions.
Indeed, we had a threat land exactly on the Z space, deliver it's Z action and then we thought we shot if down with some lasers next turn.
On checking the rule as written (above) we noted that the ship actually vanishes the turn it lands on the Z square, even though it didn't have any more movement to go beyond that square, so we only "survived" it in the end.