Hi C# Amateur
Thanks for reaching Microsoft Q&A team.
If you are using Azure file share, you can mound the file share to your local machine to access the files inside the fileshare as if you are accessing your local machine files.
If you are using a Windows machine, please mount the Azure file share (Assuming Z drive) --> go to Z:\ drive --> right click on the file and "Send to" --> Compressed (Zipped) folder.
This will create a new zipped file, with in the mount drive without needing to download the file and upload and quicker process, and you can delete the original file later.
Please let me know if misunderstood your requirements.
And if this answers your question, please mark it as an answer.
Thanks!