Deprecate gz kwarg and replace with compress kwarg

This is to prepare us to support multiple compression methods
including Zstandard.

See !13.
3 jobs for compress-kwarg in 18 minutes and 1 second (queued for 1 second)
Status Job ID Name Coverage
  Build
passed #915588
build-python27

00:11:18

passed #915589
build-python37

00:11:15

 
  Docs
passed #915590
docs

00:06:43