These can be done in .__new__() method:
- create thread lock
- create (de)?compression context
- initialize (de)?compressor states

In .__init__() method, only set (de)?compression parameters. And prevent .__init__() method from being called multiple times. 

This mode works fine in my pyzstd module (A Python bindings to zstd library).
But I think very few people will encounter this problem, we can leave it.