CPAN: Perl's killer app: PerlIO::via::gzip

I don't know how robust this is, but it worked on a simple test script I just tried myself.

use strict;
use warnings;
use autodie;

use PerlIO::via::gzip;

my $filename = 'example.txt.gz';

open my $fh, "<:via(gzip)", $filename;
while ( <$fh> ) {
    print $. . $_;
}
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I think that's what you seem to be looking for. You could always just open a pipe from the shell instead though.