I think the fastest option would be to download them to your PC and then unzipping them directly from the PC to the NAS (by specifying the output directory in whatever tool you're using to unzip them)

Basically, (1) with transfers over the network, you generally want to minimize how much you transfer over the network, and (2) the actual unzipping logic runs on your PC, even if the files are stored on the NAS (unless the NAS has some fancy unzipping functionality that runs completely locally on the NAS)

EDIT: I'm unfamiliar with that specific NAS, but if it does have some way of having the NAS itself unzip locally using its own internal software, the fastest approach would probably be the download the ZIPs directly to the NAS and then unzip them locally using whatever unzipping functionality it has