From COPY INTO docs:
If SINGLE = TRUE, then COPY ignores the FILE_EXTENSION file format option and outputs a file simply named data. To specify a file extension, provide a filename and extension in the internal or external location path
COPY INTO @mystage/data.csv ...
and:
COMPRESSION = AUTO | GZIP | BZ2 | BROTLI | ZSTD | DEFLATE | RAW_DEFLATE | NONE
String (constant) that specifies to compresses the unloaded data files using the specified compression algorithm.
Supported Values
AUTO
Unloaded files are automatically compressed using the default, which is gzip.
**Default: AUTO**
Either do not compress file(compression method NONE) or provide a proper file name with gz
extension:
COPY INTO 'azure://my_account.blob.core.windows.net/test-folder/test_file_8.csv.gz'
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