From the Super Mario Wiki
Sector Z is the name of a stage in Super Smash Bros. It is the second largest stage, the Mushroom Kingdom stage being the largest. This arena takes place on the Great Fox, which is Fox McCloud's ship, in an area of the Lylat System called Sector Z. Occasionally, an Arwing will appear and will shoot at the players. It will either shoot across the screen or directly at one of the fighters. The blasts are very strong, so every fighter has keep an eye out for them. The stage did not return in Super Smash Bros. Melee. Instead, it featured two other stages that involve a fight on the Great Fox: Corneria and Venom.