I think packaging ought to be able to use binary dependencies. Some disagree. The binary ZStandard decompressor could be offered in a gzip-compressed wheel.
The reason an improved packaging format can only use ZStandard and not LZMA is that we need to improve everyone's experience, not just minimize bandwidth. LZMA can save a lot of bandwidth compared to gz and a tiny amount of bandwidth compared to ZStandard. The package consumer won't care because (LZMA download time + decompression time) will usually be greater than (standard ZIP download time + decompression time). This is the same reason other package formats like RPM have switched to ZStandard. At its default settings ZStandard can achieve faster compression and decompression times than gz / standard ZIP compression, and a better compression ratio, at the same time.
In other words if we used LZMA our consumers would be unhappy because it would usually slow them down, to say nothing of the producers. Only the most bandwidth constrained users would benefit.
ZStandard is generally faster and better than Brotli.