Of course it didn't trap at the open statement. The error hasn't happened yet. As for the incorrect error message, the code should be:

...

if (!close($fh)) {
   $!          and die("Can't close gunzip: $!\n");
   ($? & 0x7F) and die("gunzip died from signal ", ($? & 0x7F), "\n");
   ($? >> 8)   and die("gunzip exited with error ", ($? >> 8), "\n");
}
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gzip: notexists.gz: No such file or directory
gunzip exited with error 1
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