Mail messages are stored in a complex hierarchy of folders in ~/Library/Mail. If you dig through the hierarchy, each mailbox should have associated with it a .mbox folder. This is a folder, not an mbox file. For example, there should be, somewhere, a folder called "Deleted Messages.mbox". There may be other folders associated with a mailbox, but the .mbox folder is the one with the messages. Inside the .mbox folder is a subfolder named "Messages". Inside that are individual .emlx files. These are the messages. Since they are individual files, there is no mbox that needs to be compressed. Incidentally, the .emlx files can be opened with any text editor, e.g., TextEdit.