Firstly, apologies for the delay in responding here and any inconvenience this issue may have caused.
Azure will not unzip,you could however create a VHD out of multiple files to put them together. If you need any insight this Import service more. Please can you provide more details - what is the data size and type. Is the count huge due to which you want to zip it?
Before importing data you need WAImportExport tool to prepare the drives for importing data
Please check the steps here: https://learn.microsoft.com/en-us/azure/storage/common/storage-import-export-service#importexport-components
Hope this helps!
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