Nope; still no gzip/bz2 support :(
HOWEVER, here's the trick for importing CDs:
1) if all you've got is an ISO or other image format, create a .cue file of the same name, and fill it with:
FILE “<CueAndIsoName>.iso“ BINARY
TRACK 01 MODE2/2352
INDEX 01 00:00:00
2) If what you've got is a cue/iso/ogg or cue/iso/mp3 or cue/iso/wav, and the game uses the mednafen engine...
Create a new CUE file as in 1) that matches the main ISO. Drag this into the window. After that's done, copy the original cue/iso/audio files into the appropriate folder, replacing the new CUE file with the old one. Note that you may have to fiddle the filenames in the CUE file to get this to work. However, the games play with proper audio tracks! MUCH better than expanding to a full multitrack bin image.
3) some of the other game formats need extensions that differ from how those games are normally named when dumped. I've found that by trial and error, based on the console name, you can figure it out. It's also in the source code if you want to cheat ;)