DOC: Fixed to_pickle compression argument list 'gzip' > 'gz'
Removed reference to gzip and replaced with correct extension of gz.

- [x] closes #35364


<img width="842" alt="Screenshot 2020-11-30 at 20 43 59" src="https://user-images.githubusercontent.com/74271903/100664097-17d1f200-334f-11eb-90e3-e37ef7ce7c66.png">

The compression string here is specifying the compression and is used by the code:

```
# GZ Compression
if compression == "gzip":
```

This is making the docstring incorrect. @rhshadrach Outdated issue? As I commented in the issue, it seems like a good idea to me to have the details that are currently in `DataFrame.to_csv` also in `DataFrame.to_pickle`. These details make clear why the argument is "gzip" and not "gz". Added information as mentioned by @rhshadrach.
<img width="819" alt="Screenshot 2020-11-30 at 23 11 09" src="https://user-images.githubusercontent.com/74271903/100677048-13630480-3362-11eb-869e-a4d5e3935922.png">
 it might be useful to share documentation across all function that support the same compression (csv/pickle/json/...), similar to #37953. I didn't check whether the docstrings match exactly. thanks @ooojpeg 

@twoertwein yeah can you open issue(s) to share these doc-strings as you did before.