PRG cannot be compressed. Data in CHR *ROM* cannot be compressed. However, if the graphics are stored in the PRG ROM they can be compressed.
It is possible for some games to store non-graphics data in CHR-ROM and transfer it to CPU RAM.
(the Super Mario Bros. title screen is probably the best known example of this)
If I remember, TLP actually hides the PRG ROM if it detects an NES game that uses PRG and CHR, as they would not be able to store graphics data in PRG (well, they could STORE it, but wouldn't be able to USE it

).
(though I've heard of some pirate mapper that had both CHR-ROM and CHR-RAM, but I suppose that's beside the point)