You can't pass a gzipped file to vcf2bed (or vcf2bed-megarow, or any of the convert2bed format translators).

You should extract the gzip file and move the options to the command:

vcf2bed-megarow --max-mem 127G --sort-tmpdir temp < <(gunzip -c my_sample.vcf.gz) > my_sample.bed

Or the equivalent:

gunzip -c my_sample.vcf.gz | vcf2bed-megarow --max-mem 127G --sort-tmpdir temp - > my_sample.bed

You can almost certainly reduce this parameter: --max-mem 127G to something much much lower. It should be less than available system memory, in any case.