In reply to Chris Hemedinger.

My code
filename in02 ZIP "C:\mydirectory/mo_od_main_JT00_2002.csv.gz" member='mo_od_main_JT00_2002.csv' GZIP;
filename out02 "C:\teamdirectory/mo_od_main_JT00_2002.sas7bdat";
data mylib.file02;
infile in02 recfm=N;
file out02 recfm=N;
input;
put _infile_;
run;

Log result:

NOTE: 3937 records were read from the infile IN02.
NOTE: The data set MYLIB.FILE02 has 3937 observations and 0 variables.
NOTE: DATA statement used (Total process time):
real time 0.39 seconds
cpu time 0.42 seconds
There are over 1 million records in the folder.