Reinstall bzip2:

brew uninstall bzip2
brew install bzip2

Add this to ~/.zshrc:

# Workaround for pyenv to build
export LDFLAGS="-L$(brew --prefix openssl)/lib -L$(brew --prefix readline)/lib -L$(brew --prefix zlib)/lib -L$(brew --prefix bzip2)/lib"
export CFLAGS="-I$(brew --prefix openssl)/include -I$(brew --prefix bzip2)/include -I$(brew --prefix readline)/include -I$(xcrun --show-sdk-path)/usr/include"