Embryo's are called fetuses after 8 weeks. The term zygotes is only used right after fertilization before cleavage occurs when the embryo is still a single cell.
It is called lanugo, the skin is also coated with a white greasy like substance called vernix and protects the fetus from the effects of being in the amniotic sac ( bag of water)
A fetus (or foetus, or fœtus) is a developing mammal or other viviparous vertebrate, after the embryonic stage and before birth. The plural is fetuses (foetuses, fœtuses) or, very rarely,...