A letter looks like number 3. What is it?

It is \mathfrak{Z} from the STIX font.

\documentclass{article}
\usepackage{amsmath}
\usepackage{stix}
\begin{document}

$\sqrt{n} ( \mathscr{K}_n - \mathscr{K} ) \xrightarrow{d} \mathfrak{Z}$

\end{document}

this is almost certainly a fraktur Z --$\frak{Z}$.

while the letter does look quite like the cyrillic Ze, in western math there is a very long history of using the fraktur alphabet, but the only "common" cyrillic letter i know of that has made its way into western math is the Sha (first letter of the name shafarevich, and also used for the shuffle product).