From Zlib.pm

    # in new()
    croak "open() needs a filename" unless defined($filename);

    $self->{'file'} = gzopen($filename,$mode);
[download]

So, it's passing $filename from new() directly to gzopen() in Compress::Zlib. According to the docs, gzopen() accepts either a file name or an open file handle, in which case it'll call gzdopen(). So, the solution to your problem may be to open() the file first, lock it, and then pass this locked file handle to new().
I haven't tried it though, so you'll need to test it to make sure it works.

--perlplexer