State-of-the-art 2D image compression schemes rely on the power of convolutional neural networks (CNNs). Although CNNs offer promising perspectives for 2D image compression, extending such models to omnidirectional images is not straightforward. First, omnidirectional images have specific spatial and statistical properties that can not be fully captured by current CNN models. Second, basic mathematical operations composing a CNN architecture, e.g., translation and sampling, are not welldefined on the sphere. In this paper, we study the learning of representation models for omnidirectional images and propose to use the properties of HEALPix uniform sampling of the sphere to redefine the mathematical tools used in deep learning models for omnidirectional images. In particular, we: i) propose the definition of a new convolution operation on the sphere that keeps the high expressiveness and the low complexity of a classical 2D convolution; ii) adapt standard CNN techniques such as stride, iterative aggregation, and pixel shuffling to the spherical domain; and then iii) apply our new framework to the task of omnidirectional image compression. Our experiments show that our proposed on-the-sphere solution leads to a better compression gain that can save 13.7% of the bit rate compared to similar learned models applied to equirectangular images. Also, compared to learning models based on graph convolutional networks, our solution supports more expressive filters that can preserve high frequencies and provide a better perceptual quality of the compressed images. Such results demonstrate the efficiency of the proposed framework, which opens new research venues for other omnidirectional vision tasks to be effectively implemented on the sphere manifold.