You say you use Direct Routing but not sure if it's SBC's you manage. If so, quite easy as you'll just create a rule based on calling number\called number.

If Calling Number = US CEO (by default, Teams will send the user's Direct Dial to the gateway)
If Called Number is NZ Number, then change calling number to NZ number
Else Calling Number remains as is, US DDI

I can't think of anything in Teams that could do this for you, it would have to be at the SBC.

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