The FILENAME statement is just to create a pointer to the file, call a FILEREF. To actually read from the file you need to have other code that references the fileref the FILENAME statement created.
The article you linked to is about reading from a text file. From the name that appears to be an actual SAS dataset, which is a binary file, so you need to actually convert it into an uncompressed file for SAS to be able to use it.
Here is code that will use FCOPY() function to copy it as a binary file into a file in the WORK directory.
filename rx_clm ZIP
"/nfs/sasarch/MI/hedis/hedis_vendor/production/inovalon/my2020/inovalon/data/extract/rx/rx_clm_ext_202104.sas7bdat.gz"
GZIP recfm=f lrecl=512
;
filename out "%sysfunc(pathname(work))/rx_clm_ext_202104.sas7bdat" recfm=f lrecl=512;
%let rc=%sysfunc(fcopy(rx_clm,out));
From there you can work with it using normal SAS code. For example to see what variables it has run PROC CONTENTS on it.
proc contents data=work.rx_clm_ext_202104;
run;
Edited: Fixed function to get location of work directory.