The Diophantine equation to check on is
$$(x + y)(x + y + 2) = 10xy \tag{1}\label{eq1A}$$
Note that, by inspection, I got $(x, y) \in \{(0, 0), (0, -2), (-2, 0)\}$ being integer solutions, but not positive ones. Since there are integer solutions, doing things like factoring and checking for a perfect square discriminant will succeed (e.g., with $15x^2 - 10x + 1$, it's $1$ for $x = 0$ and $81 = 9^2$ for $x = -2$, with your Wolfram Alpha results show other, only negative, results)). One way to specifically show there are no positive integer solutions is to assume they exist but then use positive divisibility constraints (which assume all of the factors are non-negative), such as with my \eqref{eq4A}, \eqref{eq5A} and \eqref{eq6A} below, to show there are no valid results.
First, since $x + y$ and $x + y + 2$ have the same parity and $10xy$ is even, then both of the LHS factors of \eqref{eq1A} must be even. Thus, $x$ and $y$ have the same parity. They can't both be odd since the LHS has at least $2$ factors of $2$ but the RHS would have only $1$ factor of $2$. This means $x$ and $y$ must both be even. As such, there's a positive integer $d$ where
$$\gcd(x, y) = 2d \;\;\to\;\; x = 2dx_1, \; y = 2dy_1, \; \gcd(x_1, y_1) = 1 \tag{2}\label{eq2A}$$
Substituting this into \eqref{eq1A} and dividing both sides by $4d$ gives
$$(x_1 + y_1)(dx_1 + dy_1 + 1) = 10dx_{1}y_{1} \tag{3}\label{eq3A}$$
Since $d \mid (x_1 + y_1)(dx_1 + dy_1 + 1)$, but $\gcd(d, dx_1 + dy_1 + 1) = 1$, we have
$$d \mid x_1 + y_1 \tag{4}\label{eq4A}$$
Also, $x_1 + y_1 \mid 10d(x_{1}y_{1})$, but $\gcd(x_1, y_1) = 1$ means that $\gcd(x_1 + y_1, x_{1}y_{1}) = 1$, so
$$x_1 + y_1 \mid 10d \tag{5}\label{eq5A}$$
Note that \eqref{eq4A} and \eqref{eq5A}, along with \eqref{eq3A}, means there are positive integers $a$ and $b$ with
$$x_1 + y_1 = ad, \;\; d(x_1 + y_1) + 1 = bx_{1}y_{1}, \;\; ab = 10 \tag{6}\label{eq6A}$$
Substituting the LHS of \eqref{eq6A} into the middle part gives
$$\begin{equation}\begin{aligned}
d(ad) + 1 & = b(ad - y_1)y_1 \\
ad^2 + 1 & = (ab)dy_1 - by_1^2 \\
by_1^2 - 10dy_1 + (ad^2 + 1) & = 0
\end{aligned}\end{equation}\tag{7}\label{eq7A}$$
Treating this as a quadratic in $y_1$, the discriminant, i.e.,
$$100d^2 - 4b(ad^2 + 1) = 100d^2 - 4(10)d^2 - 4b = 60d^2 - 4b = 4(15d^2 - b) \tag{8}\label{eq8A}$$
must be a perfect square. Thus,
$$15d^2 - b \tag{9}\label{eq9A}$$
must also be a perfect square. From the RHS of \eqref{eq6A}, we get these cases to check for $b$:
Since $15d^2 - 1 \equiv 2\pmod{3}$, it's not a perfect square. In addition, if $d$ is odd, then $15d^2 - 1 \equiv 7(1) - 1 \equiv 6 \pmod{8}$, while if $d$ is even, then $15d^2 - 1 \equiv 3 \pmod{4}$, with neither being possible.
With $15d^2 - 2 \equiv 3 \pmod{5}$, it can't be a perfect square. Another method is to note that $d$ can't be even since it would have only $1$ factor of $2$, so $d$ is odd. However, then $15d^2 - 2 \equiv 7(1) - 2 \equiv 5 \pmod{8}$.
Checking $15d^2 - 5$, we get $d$ can't be even because then $15d^2 - 5 \equiv 3 \pmod{4}$. However, $d$ being odd means $15d^2 - 5 \equiv 7(1) - 5 \equiv 2 \pmod{8}$, which is also never true for perfect squares. Alternatively, $15d^2 - 5 = 5(3d^2 - 1)$, so $5 \mid 3d^2 - 1$. However, $d^2 \equiv 0, 1, 4 \pmod{5}$, with $5 \nmid 3d^2 - 1$ for each congruence.
Finally, $15d^2 - 10 \equiv 2 \pmod{3}$, so this can't be a perfect square either. Another way to show this is that $d$ can't be even because $15d^2 - 10$ would have only one factor of $2$, but $d$ being odd means that $15d^2 - 10 \equiv 7(1) - 2 \equiv 5 \pmod{8}$.
Since these all result in a non-perfect square discriminant, there are no positive integer solutions for $d$ and $y_1$ in \eqref{eq7A} and, thus, also for $x$ and $y$ in \eqref{eq1A}.
Best Answer
Consider $b = ka$ for some integer $k > 1$. Then we have
$$a^2 + b^2 = a^2 + \left(ka\right)^2 = \left(1 + k^2\right)a^2 = z^3 \tag{1}\label{eq1} $$
Now, if $z = a$, \eqref{eq1} would be true if
$$k^2 + 1 = a \tag{2}\label{eq2} $$
Thus, if $k = 2$ for example, then $a = 5$ and $b = 10$ giving
$$5^2 + 10^2 = 5^3 \tag{3}\label{eq3} $$
There are, of course, many other such similar examples. If you wish for $a \neq z$ as well, then you could also have, for example, that $z = ga$, for an integer $g \gt 1$, so $1 + k^2 = \left(g^3\right)a$, but there are no solutions for certain cases, such as $g = 2$.
More generally, if you wish to have other restrictions, such as that $\gcd\left(a, b, z\right) = 1$, then consider what coffeemath wrote in a comment to the question. In particular, any number $n$ is a sum of two squares if and only if all prime factors of $n$ which are $\; 3 \mod 4 \; $ have an even exponent in the prime factorization of $n$. This is stated and proven in Which Numbers are the Sum of Two Squares?. Thus, any $z$ with all prime factors which are $\; 3 \mod 4 \; $ having an even exponent in its prime factorization will work. My example of $5$ is basically the simplest such case involving positive integers.
As Mike Miller pointed out in the comments to this answer, there is a formula for the number of representations of a number as the sums of squares at Sums of squares function, although you might need to remove cases where it provides $a$ or $b$ to be $0$ as the question specifically is looking for only positive integer solutions.