xy = {{x1, y1}, {x2, y2}, ...}
z = {z1, z2, ...}
xyz = Partition[Flatten[Riffle[xy, z]], 3]
and you're done. Riffle also works with just one z-value: it'll do exactly what you asked, after re-reading your question more carefully.
Explanation:
First, Riffle[list1, list2 **or** element, so just z1 works, too] makes
{ {x1, y1}, z1, {x2, y2}, z2, ...}
then, Flatten[list] makes
{ x1, y1, z1, x2, y2, z2, ... }
finally, Partition[list, 3] turns it into
{ {x1, y1, z1}, {x2, y2, z2}, ...}
