If the goal is to compress the output of copy so it transfers faster over the network, then...
psql "postgresql://ip:port/dbname?sslmode=require&sslcompression=1"
It should display "compression active" if it's enabled. That probably requires some server config variable to be enabled though.
Or you can simply use ssh:
ssh user@dbserver "psql -c \"copy (select * from foo limit 3) to stdout csv header\" | gzip -f -c" >localfile.csv.gz
But... of course, you need ssh access to the db server.
If you don't have ssh to the db server, maybe you have ssh to another box in the same datacenter that has a fast network link to the db server, in that case you can ssh to it instead of the db server. Data will be transferred uncompressed between that box and the database, compressed on the box, and piped via ssh to your local machine. That will even save cpu on the database server since it won't be doing the compression.
If that doesn't work, well then, why not put the ssh command into the "to program" and have the server send it via ssh to your machine? You'll have to setup your router and open a port, but you can do that. Of course you'll have to find a way to put the password in the ssh command line, that's usually a big no-no, but maybe just for once. Or just use netcat instead, that doesn't require a password.
Also, if you want speed, please, use zstd instead of gzip.
Here's an example with netcat. I just tested it and it worked.
On destination machine which is 192.168.0.1:
nc -lp 65001 | zstd -d >file.csv
In another terminal:
psql -c "copy (select * from foo) to program 'zstd -9 |nc -N 192.168.0.1 65001' csv header" test
Note -N option for netcat.