whatsnew about new engine param for to_sql (follow up to #40556)
- [ ] xref #36893
- [ ] 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

Follow up to #40556, per this comment https://github.com/pandas-dev/pandas/pull/40556#issuecomment-831413175
@jreback here's the follow up PR with whatsnew thanks @yehoshuadimarsky 