Fix read_sql empty result with chunksize bug GH34411
- [x ] closes #34411
- [ x] tests added / passed
- [ x] passes `black pandas`
- [ x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ x] whatsnew entry

`pd.read_sql` was returning an empty generator when chunksize is set and the query returns zero results. Now it correctly returns a generator with a single empty DataFrame (:issue:`34411`).
@JohanKahrstrom looks like a merge conflict - can you fix that up? ping @jorisvandenbossche or @jreback for second review Hello @JohanKahrstrom! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:





There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2021-01-14 17:55:48 UTC @WillAyd, @jorisvandenbossche, @jreback, Merge conflict has been resolved, and commit history squashed. ... and fixed black formatting. /azp run <samp>
Azure Pipelines successfully started running 1 pipeline(s).<br>

</samp> Thanks Will, I was trying to figure out how to rerun the azure check... can u merge master and we will look again @JohanKahrstrom can you add a release note @jreback @simonjayhawkins Added release note, merged with master. Unrelated checks are failing, not sure what to do about those... This pull request is stale because it has been open for thirty days with no activity. Please update or respond to this comment if you're still interested in working on this. @JohanKahrstrom Can you merge master to fix conflicts? Looks like this might be close to ready? /azp run <samp>
Commenter does not have sufficient privileges for PR 34429 in repo pandas-dev/pandas<br>

</samp> @dsaxton I've merged with master. There's 3 failing tests unrelated to my code change, and the Azure test suite failed again (I don't have sufficient privileges to re-run them).

@jreback are you happy with my argument for not implementing your suggested change (as far as I can see it won't work)? @JohanKahrstrom can you merge master once more? (There's a conflict in whatsnew) @arw2019 Done. This looks ready to go.

cc @jreback @dsaxton  thanks @JohanKahrstrom 