Custom packages in Sagemaker studio

Short answer: [Studio UI] > File > New > Terminal > sudo yum install unzip
Then unzip away...

Long answer:
You can open a terminal in two different types of compute environment:

1. On a specific kernel you're running: [Studio UI] > kernal tab > Terminial icon.
2. On the compute studio (jupyter) itself: [Studio UI] > File > New > Terminal

In both options your personal files folder is accessible. In a kernel terminal: /root. In a Jupyter terminal: /home/sagemaker-user.
When opening a kernel terminal you'll have access to the software that is part of the kernel's container (say tensorflow container). Which in your case is missing yum. You can of course try apt-get, and such to install more tools.