DOC for refactored compression (GH14576) + BUG: bz2-compressed URL with C engine (GH14874)
Follow up on https://github.com/pandas-dev/pandas/pull/14576, which refactored compression code to expand URL support.

Fixes up some small remaining issues and adds a what's new entry.

- [x] Closes #14874

lgtm (minor doc comment) Okay I cleaned up the commit history with

```sh
git rebase --interactive --autosquash 30025d82564fc27fbab58fbd791009e5b77a23db
git push --force
```

Assuming tests pass, I think this PR is ready. @jreback / @jorisvandenbossche -- you may want to double check the what's new, since made some additional changes in https://github.com/pandas-dev/pandas/pull/14880/commits/3f4cd4518bcbe70758faa5e0c86d96e56bcb8e30. ## [Current coverage](https://codecov.io/gh/pandas-dev/pandas/pull/14880?src=pr) is 84.55% (diff: 100%)
> Merging [#14880](https://codecov.io/gh/pandas-dev/pandas/pull/14880?src=pr) into [master](https://codecov.io/gh/pandas-dev/pandas/branch/master?src=pr) will decrease coverage by **0.75%**

```diff
@@             master     #14880   diff @@
==========================================
  Files           144        144          
  Lines         51015      51043    +28   
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
- Hits          43522      43160   -362   
- Misses         7493       7883   +390   
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last update [d1b1720...e1b5d42](https://codecov.io/gh/pandas-dev/pandas/compare/d1b1720d4a851271239e13805a0ae7a628e4e6d9...e1b5d4200fdb4b9f4f7fb590072ead355e9b1517?src=pr) @jorisvandenbossche, I fixed the PEP8 issues. Had to rebase to resolve a conflict that arose in `doc/source/whatsnew/v0.20.0.txt` and did some squashing/rearranging. As a result, the chronological commit order [GitHub shows](https://help.github.com/articles/why-are-my-commits-in-the-wrong-order/), isn't the actual commit order.

Also there [may be an issue](https://travis-ci.org/pandas-dev/pandas/jobs/184064359) with S3 tests failing. I was going to wait for the latest build and see if the issues are still there. It's indeed failing. What is the reason for this? It seems you didn't change anything related to that?

> did some squashing/rearranging

Just as a personal recommendation, I would not put too much effort in it. Previously we asked people to squash their PRs, but now the github interface (and our own tooling) has improved, and we squash on merge. Your previous PR was just a special case as there were two commit authors to retain. > It's indeed failing. What is the reason for this? It seems you didn't change anything related to that?

Some S3 tests were still expecting bz2 failure in Python 2. Fixed in https://github.com/pandas-dev/pandas/pull/14880/commits/8568aedc58cd836390e8eddff7e844b0bb9ea875.

> Previously we asked people to squash their PRs, but now the github interface (and our own tooling) has improved, and we squash on merge.

Instead of rebasing, is it acceptable to merge in the current master? This way we don't keep destroying references to old commit hashes. @dhimmel very minor doc changes. ping on when green.

@TomAugspurger after this is merged, pls rebase #13137  > @dhimmel very minor doc changes. ping on when green.

@jreback @jorisvandenbossche -- we're green. thanks @dhimmel great responsiveness!