The documentation has step by step instructions for running FreeBSD as a Guest on Parallels Desktop for macOS® 10.4.6 or higher.
The previous now-outmoded Answer remains below for history.
First, the last extension
.xz is a lossless data compression program and file format which incorporates the LZMA/LZMA2 compression algorithms, say Wikipedia. Developed by The Tukaani Project.
For use on Mac OS X, Apple’s Archive Utility.app cannot handle this format (as of Yosemite). The XZ project page suggests using the XZ Utils library and command-line tool. You can obtain unarchiving apps on the Apple App Store. The Unarchiver app worked for me for the FreeBSD .xz installer files.
Second to the last extension is one of three types of virtual hard drive file formats.
No Go on Parallels 10
While Parallels 10.2 on Mac OS X Yosemite 10.10.2 can open and convert both .vhd and .vmdk formats to its own format, when I tried each FreeBSD installer I got an error saying:
Failed to convert this virtual hard disk.
The guest OS installed on the disk cannot be identified. You can still convert this disk using the prl_convert utility with the --allow-no-os option."