FZMZ, pronounced fathoms, is the masked avatar band that burst onto the scene with “BROKEN GAMES,” the opening theme to the TV anime series Shangri-La Frontier, which began airing in Japan in October.

Shangri-La Frontier is making an effort to capture many of the elements of playing a video game while still telling a story of its own. Most of this is focused on Rakuro Hizotome getting a completely ...