The way that’s handled in the bgzip/gzip world is with an external index file (.gzi) with compressed/uncompressed offsets. The index could be auto-computed, but would still require reading the header for each frame.
I vastly prefer the idea of having the index as part of the file. Sadly, gzip doesn’t have the concept of a skippable frame, so that would break naive decompressors. I’m still not sure the file size savings would be big enough to switch over to zstd, but I like the approach.