mysql [params and query] | python3 -c "import sys as s,os,zipfile as m;z=m.ZipFile(os.fdopen(s.stdout.fileno(),'wb'),'w');z.writestr(s.argv[1],s.stdin.read());z.close()" 'filename.sql' > output.zip
Python 3.5 added support for writing to unseekable streams.