Conforme descrito aqui :
As a GZIP compressed archive can contain only one file, 7-Zip won't offer you GZIP compression if you try to compress a folder or multiple files at once. When you choose TAR, you can't select any compression algorithm.
The trick is, that you have to create a TAR archive first. You can then put that single TAR file into 7-Zip and it will finally offer you the ability to compress that file using GZIP.