ENH: add support for reading .tar archives
- [x] tests added / passed
- [x] Ensure all linting tests pass, see [here](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit) for how to run them
- [x] whatsnew entry

At the moment, reading from `.tar.gz` will decode using `.gzip`, but interprets the `tar` contents as if it were a `csv`. This leads to funky behaviour (due to the way `tar` files are structured, it will interpret filenames as column names), and is generally incorrect.

At the moment, Pandas users can work-around this using `tarfile`:

```python
import pandas as pd
import tarfile

with tarfile.open("file.tar.gz", "r:*") as tar:
    file = tar.getnames()[0]
    return pd.read_csv(tar.extractfile(file))
```

This PR adds this logic into Pandas, similar to how Pandas already supports reading from `.zip` files.

Co-Authored-By: @margarete01
Hello @Skn0tt! 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 2022-05-06 09:26:10 UTC Hey @twoertwein, thank you for the review! Addressed the feedback. I think we're still missing some documentation things here and there.

- [x] TODO: add `tar` as compression option to docs will need https://github.com/pandas-dev/pandas/pull/43925 and review Merged in #43925 and added to the shared docs. This pull request is stale because it has been open for thirty days with no activity. Please [update](https://pandas.pydata.org/pandas-docs/stable/development/contributing.html#updating-your-pull-request) and respond to this comment if you're still interested in working on this. @Skn0tt if you can update here I'm pretty sure I fixed the remaining tests - not so sure on what machines they are, though 😅 I'll look around and see if I can find them couldn't find it :/ I'll dedicate some time this weekend to do that work again Tests are green, and all checks apart from one are green too. That last failing check is from a Azure Pipelines timeout - I‘m pretty confident that this goes away when re-run. cc @twoertwein if you can have a look. green! :) Thanks @Skn0tt. If you could follow up with this https://github.com/pandas-dev/pandas/pull/44787#discussion_r867014069= in another PR that would be great 