The only way I can see you being able to do this is something like the following:
try {
ZipOutputStream zip = new ZipOutputStream(new FileOutputStream("C:/archive.zip"));
//GetImgURLs() is however you get your image URLs
for(URL imgURL : GetImgURLs()) {
is = imgURL.openStream();
zip.putNextEntry(new ZipEntry(imgURL.getFile()));
int length;
byte[] b = new byte[2048];
while((length = is.read(b)) > 0) {
zip.write(b, 0, length);
}
zip.closeEntry();
is.close();
}
zip.close();
}