Sorry my help was not helpful.
I've looked at the docs for zcat (well, OpenBSD's docs for zcat) and it seems that your first and third choices should work: zcat unzips the input file to STDOUT. When I get a chance (probably about 24 hours from now), I'll muck about on by OpenBSD box to see if I can replicate your results.
" The most likely way for the world to be destroyed, most experts agree, is by accident. That's where we come in; we're computer professionals. We cause accidents." —Nathaniel S. Borenstein