Interrobang, I’m a Zoroastrian, although I never went to our version of the Sunday school, and I don’t know all the details about the religion, so buyer beware…
Anyway, most Zoroastrians prefer the MPV vans because they have plenty of room for their capes and swords. 
Seriously though, “Ahura Mazdah” is just a name we use to refer to God when we talk religion, it doesn’t have any magical meanings and is not that sacred. So the Mazda cars are not in any way offensive or blasphemous to us. Of course there are a few hardline fundemantalists who get all huffed up about such things, but we just ignore those people.
AFAIK though, Mazda’s connection to our religion is just an urban legend. When I first heard the story, my own reaction was “cute.” Other Zoroastrians’ reactions, that I know of, are “hey, another fan of our religion,” or “woohoo, a Zoroastrian in Japan, who would’ve thunk!”
I’ve personally never owned a Mazda, but my parents have, and many other Zoroastrians in N.America have also. It’s just another make of car to us. The RX7’s are sweet though…
As far as Zoroastrianism itself, it’s a pretty relaxed religion, at least the modern N.American version is. It basically asks us to be nice people and respectful occupants of Earth and the universe and all: “good thoughts, good words, good deeds.” So as long as Mazda’s not hurting anyone or anything with their choice of name, it’s fine by us. Actually, getting pissed at them would be a violation of the “good thoughts” part, so it’s best to let them be.
Hope this helps.