Add documentation linking to sqlalchemy
- [x] closes #23086
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ n/a] whatsnew entry 

Thanks very much for the PR:

You can do something like:
```
For documentation on pyarrow, see `here
        <https://arrow.apache.org/docs/python/index.html>`__.
```
For reference see:
https://sublime-and-sphinx-guide.readthedocs.io/en/latest/references.html

To avoid it rendering like so:

![image](https://user-images.githubusercontent.com/16733618/68075205-98b16980-fd9c-11e9-83ab-9f288c446fb2.png)
