I found this approach to install unzip on SageMaker Studio with yum in the Terminal.
sudo yum install -y unzip
Now you can use unzip --version to verify unzip is installed, and unzip file.zip to extract the contents of a compressed file.
Run the following command (note the bang!) inside of a Jupyter notebook or Python console in SageMaker Studio to install unzip.
!conda install -y -c conda-forge unzip
After running that command, I don't seem to be able to run unzip in Terminal yet.