I was doing zohr prayer, and I was in my second rakat and when I was doing the second sajda, I doubted that in the first Sajda I said "azim" instead of "aala".
So can I correct it with Sajda Saw or Namaz Ehtiyat ? Or should I perform my prayer again ?

In the dhikrs of namaz, if you make a mistake while you are reciting it and if you realise it, just repeat the dhikr. If you have finished and gone onto the next action as is in your case, then there is no problem and you don't have to repeat the namaz nor do you have to do sajda e sahw.