I realize this thread is a bit old but I just noticed it and wanted to weigh in with two points.
A compressed tar file (typically with ".tar.gz" or ".tgz" extension) is the result of two operations - creating a single-file archive from a group of files (the "tar" part) and compressing that archive (the "gzip" part). The tar utility provided in most variants of *nix include the ability to compress/decompress as part of the process. This can be accomplished on the creation of a tar file by including the "z" switch, e.g., tar -cvzf <tar-filename> <files-to-include>. The same "z" switch will work when extracting one or more files. This means that there is no need to uncompress the file before using the tar command - you can combine those steps and gain the benefit of smaller disk use for the compressed tar file.
Secondly, using PIPE on a FILENAME statement, you can read an individual CSV or other file from a compressed tar file without ever having to extract anything to disk as an intermediate. Here's an example that would allow one to read a single CSV file from a tarball into a SAS dataset using the "O" switch (that's a capital letter "O") to write the extract results to STDOUT (aka, "the console" instead of a file):
FILENAME mycsv PIPE "tar -xzOf /mypath/mytarball.tar.gz ./one.csv";
DATA WORK.ONE;
INFILE mycsv DELIMITER=',' MISSOVER DSD FIRSTOBS=2;
INPUT...
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