menu item and shortcut key problem

I have a menu item 'undo' with ctrl-z set as its shortcut key. My understand
of the shortcut key with a menu item was that they both called the same
function, so they both should perform the same operation. Currently, I have
to press ctrl-z twice to call the undo function for the first time, yet I
only have to click on my undo menu item once to call the same function. Any
ideas why there could be this difference?

TIA
ADam.