I don’t think find has an option like this, you could build a command using printf and your exclude list:
find /dir -name "*.gz" $(printf "! -name %s " $(cat skip_files))
Which is the same as doing:
find /dir -name "*.gz" ! -name first_skip ! -name second_skip .... etc
Alternatively you can pipe from find into grep:
find /dir -name "*.gz" | grep -vFf skip_files