Export to CSV and Compress with GZIP in postgres

You can use directly, as per docs, https://www.postgresql.org/docs/9.4/sql-copy.html

COPY foo_table to PROGRAM 'gzip > /tmp/foo_table.csv' delimiter ',' CSV HEADER;

The trick is to make COPY send its output to stdout, then pipe the output through gzip:

psql -c "COPY foo_table TO stdout DELIMITER ',' CSV HEADER" \
    | gzip > foo_table.csv.gz