Mix the cream cheese, Cheddar, Worcestershire, lemon zest, cayenne and a few grinds of pepper together in a medium bowl until thoroughly combined.
Lay a large piece of plastic wrap on a work surface and put the cheese mixture on top. Use the plastic wrap to form it into a 6-inch log. Refrigerate until firm, about 1 hour.
Put the pistachios on a large plate. Unwrap the cheese log and roll it in the pistachios until it is fully coated. Serve immediately or rewrap in clean plastic and refrigerate up to 1 day.