I got this error as well. Since lzma is needed to decode the test data the ImportError can be captured to skip the test in setUpModule [0] like other test module setup with similar approach for required cases. I am adding easy tag. Feel free to retriage this if the test data need to be encoded in a different format for the test to support platforms that don't have lzma.

try:
   import lzma
except ImportError:
   raise unittest.skipTest("lzma is needed")


[0] https://github.com/python/cpython/blob/0dd98c2d00a75efbec19c2ed942923981bc06683/Lib/test/test_zoneinfo/test_zoneinfo.py#L43