Once upon a time, when AF SLR was a luxury, and digital photography was a fairy tale, Olympus launched their IS series. The IS series are SLR cameras which use mirror and pentaprism (hence, Single Lens Reflex), but the lens is not interchangable. They call this ZLR (Zoom Lens Reflex)
When digital era came in trying to rule the photography world, the need for "live" image through the mirror and pentaprism to avoid parralax started to fade. The term Zoom Lens Reflex somehow became used for the cameras that use Electronic Viewfinder (EVF) became ZLRs. Example: Fuji S602 Zoom, HP 850, DiMAGE 7i, etc.
Olympus E10 and E20 are SLRs, because they give true through the lens live image in the viewfinder. The fact that the lens is not interchangable has nothing to do with the naming, it is still SLR.
However, Olympus uses pellicle mirror, which does not move when taking picture, so the CCD is exposed all the time. If you say Canon EOS 1nRS is an SLR, then Olympus E20 is an SLR.
To summarise things, There is no such thing as DZLR, today, a ZLR camera is a digital camera.