I think something of a problem is that a number of zoos don't have an animal for all 26 letters - and so in the few instances a video is made of animals ABC in the Zoo sometimes compromise is to be made.
Though I will say ... as for A - Z of wild animals I recall there was a video released on DVD and VHS that introduced 26 different animals with a mixture of commonly-known [i.e. elephant; lion; penguin etc.] and lesser-known [i.e. armadillo; gibbon; kiwi] animals - all of which have their own song. It also has some messages of ecology - including a song about hyaenas that doesn't ultimately villify the animals ! It was produced by Partridge Films in 1998, if that helps in looking for it. I believe it may be available to buy in DVD format - though it also exists on YouTube.
I hope that helps !
I also love that video. A lot of unknown animals like Nudibranchs was mentioned. It's a great balance between the well known and not known animals there.