CTRL+_ is used to do UNDO in console; is it possible to map that another key combination like
CMD + Z?
Yes, but that depends on your shell. In bash, you have to use
$ bind '\C-t':undo
This will bind Ctrl-t to
undo. Note that you cannot bind Ctrl-z in most terminal emulators. Refer to
help bind for more information.
If you want the current list of all key bindings, use
bind -P | grep -v "not found".
In zsh, you have to use
$ bindkey '\C-t' undo
Keep in mind that you probably want to remove the old bindings for whatever key you'll choose. For example,
\C-t is bound to
In case you're wondering where all those combinations come from: Emacs. See
man 1 bash, section "Readline Command Names" for more information.