You can read raw data from WinZip files. See
http://support.sas.com/kb/26/011.html . This uses the PIPE option which still requires disk storage, but it is immediately deleted.
Similarly, this SUGI paper has examples
http://www2.sas.com/proceedings/forum2007/005-2007.pdf , though it extracts the files to temporary storage.
I doubt that you can read SAS datasets (.sas7bdat extensions) that way because they need to be direct access.