An actual .gz file is an archive, which may or may not be compressed, and which contains a single file. Often the file contained in a .gz file is itself another archive type, such as a .tar file, which can hold multiple files.
I would not trust the website very much if this happened to me, because either the website itself, or third party content, such as ad frames are performing “drive-by downloads”, most likely in an attempt to either infect your endpoint or to download something they think will draw your attention back to the originating party for the purpose of engaging you to make money, such as porn or a flyer style advertising image with references to their website.
Unlike Safari on macOS, Safari on iOS does not automatically open .gz files. Even on macOS, where Safari automatically opens, extracts the file from the .gz and deletes the original .gz, there’s very little risk, because this does not execute the contained file. But it does get you one step closer to being able to execute the payload yourself. On iOS, because the file isn’t opened automatically, this particular risk doesn’t exist.
I would delete the file, and contact the site about what happened if it’s one you need to continue to use, or consider not using it anymore.
