SAS Datasets are considered direct access or random access (terminology varies in different platforms), which is why the pipe approach fails (it is predicated on sequential access). You might be able to convert the SAS datasets into SAS transport files (a sequential version of a SAS dataset) and then read it with a pipe, but I'm not sure.
Some Unix file systems (Solaris 10, for example) support OS level data compression which has storage use very similar to gzip. If your OS supports it, you might be able to get your Unix Admin to set the entire file system for compression. (Windows compression works similarly, but it looks like you are on a Unix box.) This is transparent to the SAS program.