Gzip doesn't seem to store the encoding information, so you'll have to decode() the result.

perl -e '
  use IO::Uncompress::Gunzip;
  use Encode;
  binmode(STDOUT, ":utf8");
  open my $in, "<:utf8", "umlaut";
  $_=<$in>;
  print "Uncompressed: $_ ",ord($_),"\n";
  my $gin= IO::Uncompress::Gunzip->new("umlaut.gz");
  binmode($gin, ":utf8");
  $_=<$gin>;
  print "  Compressed: $_ ",ord($_),"\n";
  $_ = decode("utf-8", $_);
  print "     Decoded: $_ ",ord($_),"\n";
'
[download]

Output:

Uncompressed: ü
 252
  Compressed: ü
 195
     Decoded: ü
 252
[download]