I think the best Earphones you can pair with this Walkman, which happen, surprise surprise, to be the ones that are officially recommended by Sony, are
IER-M9
IER-Z1R
Depending on in which country you life in, there are other options. Sony for example offers Earphones that are optimized on the WM1ZM2, they are called JustEar XJE-MHRWM1M2
https://www.sony.co.jp/Products/justear/
But you can, of course, plug every flagship into the Walkman like the FitEar TG335, Vision Ears VE8 or Phönix, Westone Mach 80, Audio Technica ATH IEX-1, Final A8000 and so on. They all excell with the Walkman, so basically you can use whatever you want