/jp/ - Otaku Culture

OP, the term you're looking for is "Creator's Pet". Since ZUN is the creator, any character he creates cannot be a Mary Sue by definition. A Mary Sue would be if someone created their own original self-insert Touhou (do not steal) and wrote a fanfic where said character is the greatest, most powerful, most likeable, everyone loves her, etc and so on. You know, like the original Lt. Mary Sue, who, incidentally, was originally a parody of self-insert fanfic characters. Contrast Mary Sue with Wesley Crusher, who shares most of the characteristics of a Mary Sue, but was actually created by the original creator of Star Trek and is a canonical character, making him a Creator's Pet instead.

The closest to a Creator's Pet is probably Aya, seeing how she's mentioned as being incredibly powerful and has a large number of appearances, including her own spin-off games.