Well, it kinda is a big deal. I don't know what school you're from. But I can definitely see the possibility of others thinking that you're less than legit because, after all, your letters spell PEZ! (not that I am suggesting that you're NOT legit in any way) But, depending on the friendliness of your already established Greek system and the attitude of the administration and independent students, you might have to prove yourself a little more. I think that's really stupid, but that's the way it *could* pan out. I do like the sound of Rho Sigma Zeta though... More GLOs should use Rho.
At the very least, I can't think of any vulgar nicknames that could be derived from PEZ... but I'm not as creative as some
Good luck!