I was playing around with SuSE distribution and found the messages archived with xz extension.
It appears to work with zgrep.
Here is the documentation
https://github.com/xz-mirror/xz
0. Overview
———–
XZ Utils provide a general-purpose data-compression library plus
command-line tools. The native file format is the .xz format, but
also the legacy .lzma format is supported. The .xz format supports
multiple compression algorithms, which are called “filters” in the
context of XZ Utils. The primary filter is currently LZMA2. With
typical files, XZ Utils create about 30 % smaller files than gzip.
To ease adapting support for the .xz format into existing applications
and scripts, the API of liblzma is somewhat similar to the API of the
popular zlib library. For the same reason, the command-line tool xz
has a command-line syntax similar to that of gzip.