MSI files are not OLE Structured Storage files. They cannot be compressed and have the Windows Installer still be able to read them. However, many things are stored in the MSI file (such as your UI graphics and CustomAction DLLs and Shortcut Icons) so you should be conscious of the content you are putting into the MSI.
There is nothing in the WiX toolset to analyze each of the things you are putting them in the MSI and compressing them (except the cab file, of course since that is expected by the Windows Installer to be compressed).
Honestly, the Windows Installer does not natively support the best compression of today. One thing to do is to build the package and use a bootstrapper distributes compressed content and uncompresses before passing it to the Windows Installer. That is the plan for WiX v3.5's burn bootstrapper.