Try extracting the zip file first. Then Tableau can connect to the excel file. You will not need a web data connector if the data is already in Excel.
That is what I am doing right now but I want to automate it so that it will always have the latest data.
You will have to find out if your source offers a more web based format, preferably json. The web data connector would allow you to automate this connection. If the government site does not offer this, you may be stuck with excel only. If this is the case, you could find a program on the web that will automatically go download the zip file (assuming there is no authentication to the site where you download).
Here is an example of something that can do that: Automatic File Downloader download | SourceForge.net