The root servers aren't the problem. They are heavily anycasted and i'm sure there are many in .nz. If that was the issue you could simply serve the root zone yourself, at least some of them allow axfr. [0] This info is also easy cacheable, they have big TTLs and you only have to do it once for each tld. The authoritative name server of the domain you want to access on the other hand are often just in the US or Europe and are the main issue.
Edit: How to serve the root zone locally with unbound. https://old.reddit.com/r/pihole/comments/s43o8j/where_does_u...
[0] dig axfr . @k.root-servers.net