The use of a key combination to easilly perform a command was first introduced by Macintosh, using the Q, Z, X, C and V buttons, in combination with the Command key, for the actions quit, undo, cut, copy and paste (in that order).
It was passed down to other Operating Systems, but with other operating systems using other keyboards the Ctrl (Control) key was used, since they didn't have the same control key as a Macintish keyboard does.
Also see "Inside Macintosh. Volume 1" Chapter I page 53, for the first ever mention and explanation of this command.
(NOTE: In Photoshop Ctrl+Z undoes all recent actions made with the tool selected, Ctrl+Alt+Z however undoes the last action only, yet can be pressed repeatedly to undo several previous actions)