BMP has the ability to hold compressed data too; for example they can hold JEPG and PNG compressed images. I don't think it has the ability to hold arbitrary data though.
https://docs.microsoft.com/en-us/previous-versions/dd183376(...
https://docs.microsoft.com/en-us/previous-versions/dd183376(...
[1]: https://en.wikipedia.org/wiki/Resource_Interchange_File_Form...