When you are running zgrep you are basically actually running gzip with the decompression options piped to grep.
So to replace zgrep with pigz (to make it much much much faster), just pigz -dc the file piped to grep (which is basically what zgrep is doing). Except as you know pigz will automatically thread out for the number of cores in your hosts to make it super fast.
Here's an example from one of my scripts.
BEFORE:
zgrep "$firm" /u/pound.log-20170${i}${y}.gz
WHICH IS REALLY
gzip -cdfq -- /u/pound.log-20170${i}${y}.gz |grep "$firm"
WHICH I REPLACED WITH:
pigz -dc /u/pound.log-20170${i}${y}.gz | grep "$firm"
