It makes more sense when one thinks about the names being written in Japanese. The syllable "zi" is pronounced as "ji," which is why it is written as "ji" in the Hepburn system of romanization. In fact, "ji" can be represented as ジ or ヂ ("zi" and "di" respectively, but are both pronounced as "ji").

The problem with the Hepburn system is that it makes Japanese seem like it has more consonants than it really does. I could go into the concepts of allophony and complementary distribution, but that would take too long. What I will say is that systems like Nihon Shiki do a better job at representing the Japanese language in the Latin alphabet.