You can store zipped files in the vault and even transition them through a workflow but you can not unzip them.
Give this a try.
1. Make sure the zip file is checked in.
2. select the file and you should see the contents of it in the preview tab at the bottom of the screen
3. In the preview window, right click the zip folder > extract All files
4. Tell the files where you want them saved
5. The files may come in local and you may need to right click > add to vault.
This has been working for us, we used to have to do everything outside the vault and move them in after.
It will work if you install a zip file application like WinZip or 7-Zip.
There is an issue with this caused by how Windows handles zip files. When you open the zip file Windows will clear the read-only flag which will trigger errors if you check the zip file out at any time. Not a deal breaker but important to know.