recalling functions of single variable ,when writting \begin{gather} (f\circ g) (x)=f(g(x)) \end{gather}
this means the $x$ in the domain of $g$ and $g(x)$ in the domain of $f$,that makes the independent variable to $f$ is $g(x)$ but the independant variable of $(f\circ g)$ is $x$ .
according to the above argument if \begin{gather} Z(x,h(x)) \end{gather}
this implies that $x$ and $h(x)$ is in domain of $Z $, then $Z$ still a function of several variables ?
Am I understand it correctly ?
You are changing the meaning of $Z$ when you pass from one to another, so it is technically a different function.
A simple example. Suppose $Z(x,y)=5x-3y$ as a function $Z: \mathbb{R}^2 \to \mathbb{R}$. This is a function of two variables. If we suddenly declare $y=h(x)= 3x$ then we have $Z(x,3x)=5x-9x=-4x$, which is a function of the single variable $x$. However, this "new" $Z$ is actually a different function, as its domain is now $\mathbb{R}$.