Not an exact answer because you're using xml data and there is currently no pd.read_xml()
function (as of v0.23.4), but pandas (starting with v0.21.0) can uncompress the file for you! Thanks Wes!
import pandas as pd
import os
fn = '../data/file_to_load.json.gz'
print(os.path.isfile(fn))
df = pd.read_json(fn, lines=True, compression='gzip')
df.tail()