The matrix, in the movie, is an illusion of the world created by the Machines. Its purpose is to control the humans with a system that makes them believe what they see is all real and true. This system is similar to Plato's theory of the cave, where people are imprisoned in a cave and all they see is the wall of the cave. Behind them there is a fire. Behind the fire are puppets controlled by puppeteers to cast shadows onto the wall of the cave for the prisoners to see. The prisoners are not allowed to turn their heads to the back, so they believe what they see on the wall as the reality. It is the only thing they know of in their entire life. The humans trapped in the matrix are like the prisoners in the cave. The things of the world that they see are controlled by the Machines.
Few people from the Matrix were freed by the One to continue the unfinished construction of the city of Zion. The One is also known by the humans ,who are aware of the Matrix, as their savior. They are able to be release from the illusion of what is real and see the real world with their own eyes. Similarly, the prisoners in the cave who are freed from their chains are free to walk around in the cave. They come to realize that what they had seen on the wall is not reality after all and there is more than meets the eye. They then proceed to convince the prisoners to know the truth behind the shadows like how the people who are living in the real world tried to save the human race from the Matrix.
The word 'Zion' originated from the Holy Bible
"And the king and his men went to Jerusalem against the Jebusites, the inhabitants of the land, who said to David, "You will not come in here, but the blind and the lame will ward you off" - thinking, "David cannot come in here." Nevertheless David took the stronghold of Zion, that is, the city of David ... And David dwelt in the stronghold, and called it the city of David. And David built the city round about from the Millo inward. And David became greater and greater, for The Lord, the God of hosts, was with him." (2 Samuel 5:6-7,9-10 RSV)
According to the book of 2 Samuel in the bible, it is where King David built his palace. It is also a holy place as it says in Psalms 132:13, For the LORD has chosen Zion, he has desired it for his dwelling.
I think the writer for the Matrix was trying to portray the holiness and exquisiteness of the last city of the human race by using the name Zion. It is where their Savior will come again and save the rest of human race from the lie they had been living in. But meanwhile, he had chosen the special few to finish the unfinished work 'outside the cave' to allow the people to live in it when he comes again.
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