Well, you can produce multiple concatenated gzip members each with a filename in the header (with apache's common compress gzip and its GzipParameters) but you'd have to write the reader code too, because generic gzip readers will not likely pay attention to the filename in the 1st gzip members, much less all others. They don't even expect a file at all, just a stream.

In other words, yes you can, but for your own writer+reader code on a desert island.