How to get few lines from a .gz compressed file without uncompressing

zcat(1) can be supplied by either compress(1) or by gzip(1). On your system, it appears to be compress(1) — it is looking for a file with a .Z extension.

Switch to gzip -cd in place of zcat and your command should work fine:

 gzip -cd CONN.20111109.0057.gz | head

Explanation

   -c --stdout --to-stdout
          Write output on standard output; keep original files unchanged.  If there are several input files, the output consists of a sequence of independently compressed members. To obtain better compression, concatenate all input files before compressing
          them.

   -d --decompress --uncompress
          Decompress.