For future reference, I manage to find how to do this. You can't read the gZipStream on Compression mode but you can get create another MemoryStream of previous stream's bytes like this:
using (SftpClient client = new SftpClient(connectionInfo))
{
client.Connect();
client.ChangeDirectory("/upload");
using (MemoryStream outputStream = new MemoryStream())
{
using (var gzip = new GZipStream(outputStream, CompressionLevel.Fastest))
{
stream.CopyTo(gzip);
}
using (Stream stm = new MemoryStream(outputStream.ToArray()))
{
client.UploadFile(stm,"txt.gz");
}
}
}