I haven't seen the ability in SAS to read data from files inside a ZIP archive, hence, no ability for EG to do that either. If anyone else knows better, feel free to contradict me!
Keep in mind when you're doing an import from a text file, you're creating a SAS data set as output. So, you're welcome to import and once you have the SAS data sets, later zip all those text files for archiving.
In terms of reducing space in your SAS data sets, SAS does provide the ability to compress SAS data sets. This documentation should get you started: