Just a polite guess. Read some docs about .LHA compression. Japanese have an fixation with that compression format ^^;. Also, just because it's a huge file, it is not necessarely a compressed archive. Games coded for both ST-V and Saturn have the tendency to be huge files. They're not compressed, they're just modified ROM images.
For example, in Langrisser III and DE, there are a couple of pretty big dat files. In III's case, a 12 meg one, and Langrisser DE's, a 4 meg. What are those huge files used for you might ask? Text. Graphics possibly as well. Amazing how wasteful NCS got when they decided to make games for saturn. Though for the most part, it seems alot of companies just use dat files for some kind of data compilation. Whether it be text, graphics, sound, etc.
My best suggestion is just to go through the file with a good hex editor and see if you can find any headers or possibly any kind of pointer tables at the begining of the file. If you find a table, see if you can trace where the various entries are pointing to, and you might be able to figure out what kind of data you're dealing with.
Looking at a description of the LZH file format, it seems that LZH files do not start with "LZ00" (it might appear somewhere in the header, but I'm not sure). The signature may signify some kind of custom format based on Lempel-Ziv compression, though. The Lempel-Ziv compression scheme is based on recognizing repeating blocks in a stream of data. A description of the algorithm can be found at: http://www.data-compression.com/lossless.html#lz
For source code that decompresses Lempel-Ziv, gzip ( http://www.gzip.org ) should have an LZ decompression routine, though it's probably for a specific implementation of LZ.