Is there an interesting species whose generating function gives the zigzag numbers? Let's say a species is a functor
$$F: \mathrm{FinSet}_0 \to \mathrm{FinSet}_0$$
from the groupoid of finite sets and bijections to itself.  Let $F(n)$ be its value on your favorite $n$-element set; then its generating function is the formal power series
$$ |F|(z) = \sum_{n = 0}^\infty \frac{|F(n)| z^n}{n!} $$
where the absolute value denotes cardinality.
In plain English: $F$ is a way of putting structures on finite sets, and the generating function is a power series whose $n$th coefficient is the number of ways of putting this structure on an $n$-element set, divided by $n!$.
Is there an interesting species whose generating function is $\sec z + \tan z$?
There's an answer that comes frustratingly close to being good.  We have
$$  \sec z + \tan z = \sum_{n = 0}^\infty \frac{A_n z^n}{n!} $$
where $A_n$ is the $n$th Euler zigzag number.  This is the number of permutations $\sigma$ of the set $\{1, \dots, n\}$ that are alternating, by which I mean that
$$ \sigma(1) < \sigma(2) > \sigma(3) < \sigma(4) > \cdots $$
For example, here is a picture that shows $A_4 = 5$, drawn by Robert M. Dickau:

This seems nice and combinatorial.  However, to define an alternating permutation of a finite set, we need to equip it with a total ordering.  There is a species that assigns to any finite set its collection of total orderings together with alternating permutations... but for an $n$-element set, there are $A_{n}$ times $n!$ of these, so the generating function of this species is
$$  \sum_{n = 0}^\infty A_{n} z^{n}, $$
not what I want.
I believe we could fix this by creating a species $F$ that assigns to each finite set the collection of isomorphism classes of total orderings and alternating permutations, where two are considered isomorphic if they differ by the action of a permutation.  However, the resulting species, if indeed it's well-defined, will be 'uninteresting' in that now
$$F: \mathrm{FinSet}_0 \to \mathrm{FinSet}_0$$
maps every permutation of a finite set to an identity morphism.
Richard Stanley has many other interpretations of the Euler zigzag numbers in A survey of alternating permutations.  However, I believe they all suffer from the same problem: they count structures on totally ordered finite sets.  In this situation we expect to get the ordinary generating function
$$  \sum_{n = 0}^\infty A_{n} z^{n} $$
rather than the exponential generating function
$$ \sum_{n = 0}^\infty \frac{A_n z^n}{n!} $$
If this is inevitable, I'd like to know why the function $\sec z + \tan z$ comes so close to being the generating function of an interesting species, yet fails!  Could we get it using a species valued in some other groupoid, like the groupoid of finite-dimensional vector spaces?  Or maybe some other trick?
 A: Here's a more self-contained description of this module.
For simplicity, I'll consider only the case $n=2m$.
Consider the vector space $V$ spanned by the set $P$ of ordered partitions of $[2m]$  into $m$ blocks of size two. The symmetric group $S_{2m}$ acts naturally on $V$.
Now let $T$ be the set of ordered partitions of $[2m]$ with $m-2$ blocks of size two and one block of size 4, and for $t\in T$, let $\alpha(t)$ be the sum in $V$ of all the elements of $P$ from which $t$ can be obtained by merging two adjacent blocks. Then the quotient of $V$ by the $S_n$-module spanned by the $\alpha(t)$ is the desired $S_{2m}$-module, with dimension $A_{2m}$.
For example, with $n=4$, there are 6 ordered partitions:
12 | 34,  13 | 24,  14 | 23,  34 | 12,  24 | 13,  and 23 | 14.
There is only one element $t\in T$, and $\alpha(t)$ is the sum of all six ordered partitions in $P$, so the quotient module has dimension $5=A_4$.
Instead of ordered partitions of $[2m]$ we could have used any $2m$-element set, and it is clear that the construction is functorial.
