Reading gzipped FITS file is slow #14855

Description

Reading a gzipped file can be very slow compared to ungzipping the file in memory before reading it.
https://github.com/saimn/misc-astro/blob/master/astropy/FITS%20compression.ipynb
This is because the code uses the file handler from gzip.open to read (and uncompress on the fly) small blocks of bytes, which is much slower than decompressing the whole file at once.
The current behavior is useful to limit the memory usage, but sometimes unpractical when reading big files, where it can be much much slower.
@astrofrog - Should we consider adding a new parameter to decompress the whole file in memory ? This is what I use in my code currently to circumvent this (passing io.BytesIO(gzip.open(filename).read()) to fits.open, see notebook).

Expected behavior

No response

How to Reproduce

1. Get package from '...'
2. Then run '...'
3. An error occurs.

# Put your Python code snippet here.

Versions

import platform; print(platform.platform())
import sys; print("Python", sys.version)
import astropy; print("astropy", astropy.version)
import numpy; print("Numpy", numpy.version)
import erfa; print("pyerfa", erfa.version)
import scipy; print("Scipy", scipy.version)
import matplotlib; print("Matplotlib", matplotlib.version)