ENH: Add compression to read_stata and StataReader
Add support for reading compressed dta files directly

xref #26599

- [X] closes #26599
- [X] tests added / passed
- [X] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing.html#code-standards) for how to run them
- [X] whatsnew entry

cc @twoertwein if any comments @bashtage can you merge master and ping on green @jreback green, except for unrelated failure.
 thanks @bashtage 