In GDAL 3.1+ you can create zipped shapefiles, although not using vsizip (as far as I've tested). See docs page
Starting with GDAL 3.1, the driver can also support reading, creating
and editing .shz files (ZIP files containing the .shp, .shx, .dbf and
other side-car files of a single layer) and .shp.zip files (ZIP files
contains one or several ...
ogr2ogr -f "ESRI Shapefile" out.shp road.shp -dialect sqlite -sql "select ST_Diffrence(road.geometry, seg_buff.geometry) from road, 'seg_buff.shp'.seg_buff seg_buff
Put an extra seg_buff at the end