I have found following code does create file "myFile.zip" which contains 2 csv files (hisSelect.csv, salSelect.csv), but the .zip file size is approximately same as the size of hisSelect.csv + salSelect.csv
files. I mean no real compression is done.
Thanks for your comments.
hisSelect = SalaryHistory.select()
salSelect = Sales.select()
export_csv_zip([hisSelect, salSelect], file="C:/myFile.zip")