I can't comment on the REST connector specifically, because my specialty is with the Qlik Web Connectors, but to confirm the equivalent connector there, which is the Qlik General Web Connector, is unable to unzip the file.
However, you could save the zipped file to your drive, then through your Qlik script use a tool such as 7Zip to unzip and then read it in.
A quick search on the community brings up a number of methods to unzip a file through Qlik scripting.
