The California Zephyr was owned by CB&Q, D&RGW, and Western Pacific RRs. The CB&Q ran from Chicago to to Denver (D&RGW) which then ran to California. They just put the road names on to show which Railroad ran the cars and what portion of the route they were on. From what I found online, the original intent was to run them with each name on the consist (all CB&G, D&RGW, or WP). That became impractical, so the cars on the later consists were just a mix of them.
My Lionel Burlington F3 (early in the Zephyr days) actually has Colorado and Southern on them instead of the others because C&S merged with Burlington Northern in 1981, so the engines may have had others on them.