DOC: Fix to lzma.LZMAFile
- [ ] closes #xxxx
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

It would need to be Type[lzma.LZMAFile], though not sure if we can do that given this is technically an optional dependency from the stdlib Does Type[IO] work? May be the best bet  LZMA has been part of the standard library since python 3.3. We should just assume it’s installed, that will simplify this a bit. > LZMA has been part of the standard library since python 3.3. We should just remove assume it’s installed, that will simplify this a bit.

I'm pretty sure that just recently i had to do an apt-get install to get this working on an ubuntu 18 machine We had an issue previously with that assumption, hence the existence of this compat to begin with. See #27575 Ok, that’s surprising. Yeah, changing it isn’t possible then, I guess... > It would need to be Type[lzma.LZMAFile], though not sure if we can do that given this is technically an optional dependency from the stdlib

```mypy```'s log:

```
Success: no issues found in 808 source files
```

> Does Type[IO] work? May be the best bet

```mypy```'s log:

```
pandas/io/common.py:468: error: Too many arguments for "IO"
Found 1 error in 1 file (checked 808 source files)
```
 > > It would need to be Type[lzma.LZMAFile], though not sure if we can do that given this is technically an optional dependency from the stdlib
> 
> `mypy`'s log:
> 
> ```
> Success: no issues found in 808 source files
> ```
> 
> > Does Type[IO] work? May be the best bet
> 
> `mypy`'s log:
> 
> ```
> pandas/io/common.py:468: error: Too many arguments for "IO"
> Found 1 error in 1 file (checked 808 source files)
> ```

I just found a bug (I think), unless I'm missing something obvious.

When  ``` _get_lzma_file``` is annotated with ```-> Type[IO]```, normally ```mypy``` will say:
```
pandas/io/common.py:468: error: Too many arguments for "IO"
Found 1 error in 1 file (checked 808 source files)
```

But if the ```lzma``` module is imported at the beginning of the file you ```mypy``` will say:
```
Success: no issues found in 808 source files
```

---

So two questions actually:
* Is this a bug?
* What option do we prefer? (if any) Thanks @MomIsBestFriend

Can come back to types later for the whole module if something you are interested in