@Anonymous There is no such inbuilt functionality in Azure storage. So it is not possible.
However there is some workaround in this blog, please refer to the suggestion in the blog which gives some idea on your scenario.
There are few threads in SO forum which refer to unzip files of blob storage
Please let us know if you have any further queries. I’m happy to assist you further.
----------
Please do not forget to and “up-vote” wherever the information provided helps you, this can be beneficial to other community members.