Both .hmxz and .hmx files are projects from Help & Manual documentation tool and content management system and if any program can somehow convert them, it would be this one. It looks like you could perhaps save one to another using the standard File ► Save as.. function found in the program.
Convert Help & Manual help file compressed XML project to Help & Manual help file project.
We have found one software suitable in our database for this conversion.
Microsoft Windows software - convert hmxz to hmx on Windows
A multi-author documentation and content management system tool
Convert from hmxz file format
The table with program actions contains information about what each program is capable of doing with their files. This may be a good pointer for further searches for certain file conversions and help you find the converter you are looking for if our search result is insufficient for you. However, it is far from perfect and may sometimes show results which are not really usable because of the nature of the software handles the files. So a conversion that appears as possible, just because of matched actions, may in fact not be possible.