There is a Java package java.util.zip
which supports the WinZip format. And in Oracle we can build java stored procedures which present Java classes in a form which can be called by native PL/SQL programs. Find out more.
So what you need to do is write out a file containing the data in its uncompressed state and then feed it through a JSP to zip it. If you don't want to write your own implementation then check out this article by Vadim Loevski. It includes a Java Stored Procedure for zipping OS files.
Note: In this context JSP means Java Stored Procedure, which is a Java program embedded in the database. It is not the same as Java Server Pages, which is a web technology, and hence the more common usage for the JSP acronym. I apologise for any confusion given.