Yes - see the pipe form of open. You need the bunzip2 executable installed for that:

my $cmd = sprintf 'bunzip2 -cd "%s"', $filename;
open my $fh, "$cmd |"
    or die "Couldn't launch [$cmd]: $!";
binmode $fh;
print while <$fh>;
[download]

Update: Fixed missing filename argument, spotted by AnomalousMonk