According to one of Mary-Jo Foley's sources, Microsoft is not building a Zune phone. Instead, they're crafting sample chassis to inspire manufacturers as to what will excite the market.
In this way, Microsoft is able to have their cake and eat it too. They build the bar high through a concept, then they pit manufacturers against one another to polish and mass manufacture the idea. Are you confused? That's only because it is confusing. Foley summarises the point better:
There will be Zune phones. There will be other kinds of Zune-enabled mobile devices. But they won't be crafted - beyond the reference chassis - by Microsoft.
Even the original Zune was made by Toshiba, technically. [ZDNet]