No, UltraEdit does surely never swap Y and Z. But Windows itself has the feature that from the multiple keyboard layouts installed one can be selected and activated for a specific application while all other running applications use a different keyboard layout. This selection/activation can be done also with a Windows hotkey. So if you by mistake press this hotkey while working with UltraEdit, the keyboard layout changes for UltraEdit, but not for other applications.
Best is to uninstall all keyboard layouts you don't need because you work always with the same layout. It is standard that for German Windows also the English keyboard is installed. The uninstallation of the English keyboard is the first thing I always do after setting up a new computer. Just open the keyboard configuration in the control panel of Windows and configure it to your needs. You can see in this dialog also the hotkey for switching the language and there you can disable this hotkey. The language switch hotkey is automatically disabled when only 1 keyboard is installed. And if you never need support for Asian languages, handwriting input devices, etc., it is also a good idea to turn off the advanced text services in the regional and language settings in the control panel.
See also the Microsoft articlesHOW TO: Use the Language Bar in Windows XPFrequently asked questions about Ctfmon.exe
Hint: If you see at bottom in the Windows task bar left to the system tray an icon showing "De" or "En", click with right mouse button on it and choose to configure. This is the short way to open the keyboard configuration dialog of Windows.