As simulation-based scientific discovery is being further scaled up on high-performance computing systems, the disparity between compute and I/O has continued to widen. As such, domain scientists are forced to save only a small portion of their simulation data to persistent storage, and as a consequence, important physics may be discarded for data analysis. Error-bounded lossy compression has made tremendous progress recently in bridging the gap between compute and I/O, and played an increasingly important role in science productions. Nevertheless, a key hurdle to the wide adoption of lossy compression is the lack of understanding of compression performance, which is the result of the complex interaction between data, error bound, and compression algorithm. In this work, we present zPerf, a statistical gray-box performance modeling approach for scientific lossy compression. Our contributions are threefold: 1) We develop zPerf to estimate the performance of prediction-based and transform-based lossy compression techniques, based on in-depth understanding and statistical modeling for data features and core compression metrics; 2) We demonstrate the in-detailed implementation of zPerf using two case studies, where we derive the performance modeling for SZ and ZFP, two leading lossy compressors; 3) We evaluate the effectiveness of zPerf on real-world datasets across various domains. Based on the evaluation, we demonstrate the efficacy of zPerf performance model; 4) We further discuss three case studies where zPerf is applied to extrapolate the compression ratio of SZ and ZFP with alternative encoding schemes as well as ZFP with an alternative transform scheme. Through the case studies, we demonstrate the potential of zPerf for exploring the design space of lossy compression, which has hardly been studied in the literature