Spotify and other such services almost certainly sound worse because they are compressed. But it's not really a like for like comparison with vinyl. Spotify is streaming audio for people who want to play music casually in cars, earbuds etc. It offers convenience, not perfect sound fidelity. FLAC / CD on the other hand could be compared to vinyl and would win hands down for better frequency and range. The only reason they wouldn't is if the CD master sucked and the vinyl master didn't.

And vinyl is very lossy in its own way. The (digital) master of each side undergoes dynamic range & frequency compression to fit the limitations of the format (e.g. to reduce sibilance, track width). Then the master is cut into a lacquer disc from which a "father" is made, from which "mothers" are made, from which stampers are made and from which the vinyl record is made. So the vinyl in someone's hand is a copy, of a copy, of a copy, of an altered digital master. The stamper too wears out so if someone is unlucky they get a pressing right the end of its life. And playing the disk can cause wow, flutter, distortion and general wear & tear can cause hiss, pop, dullness and scratches.

So vinyl will never sound better unless it received a better master than other formats.