Fun fact: in a sense. gzip can have multiple files, but not in a specially useful way ...

    $ echo meow >cat                                                            
    $ echo woof > dog                                                           
    $ gzip cat                                                                  
    $ gzip dog                                                                  
    $ cat cat.gz dog.gz >animals.gz                                             
    $ gunzip animals.gz                                                         
    $ cat animals                                                               
    meow                                                                        
    woof