Since you didn't provide any further information, you may need to manually download and unzip or decompress the file at each stage of its journey.
This means initially downloading and unzipping the file from its blob storage location, followed by a similar process after it has been transferred via SFTP.
If the file fails to unzip or decompress at any point, it indicates that the file was not in the correct format when it reached that particular stage.
If unzipping or decompressing is successful at both stages, but the issue arises with Data Factory, the problem may lie with Data Factory itself. If this is the case, please inform us.