REGR: memory_map with non-UTF8 encoding
- [x] closes #40986
- [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

My best guess is that `memory_map=True` always assumed UTF-8 with the python engine. Now that the c and python engine use the same IO code, the c engine assumed UTF-8 as well.

Hello @twoertwein! 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 2021-04-25 14:56:08 UTC @meeseeksdev backport 1.2.x thanks @twoertwein keep em coming! Owee, I'm MrMeeseeks, Look at me.

There seem to be a conflict, please backport manually. Here are approximate instructions:

1. Checkout backport branch and update it.

```
$ git checkout 1.2.x
$ git pull
```

2. Cherry pick the first parent branch of the this PR on top of the older branch:
```
$ git cherry-pick -m1 0a0540c30bb438a443b10516d9d0826089a4b396
```

3. You will likely have some merge/cherry-pick conflict here, fix them and commit:

```
$ git commit -am 'Backport PR #40994: REGR: memory_map with non-UTF8 encoding'
```

4. Push to a named branch :

```
git push YOURFORK 1.2.x:auto-backport-of-pr-40994-on-1.2.x
```

5. Create a PR against branch 1.2.x, I would have named this PR:

> "Backport PR #40994 on branch 1.2.x"

And apply the correct labels and milestones.

Congratulation you did some good work ! Hopefully your backport PR will be tested by the continuous integration and merged soon!

If these instruction are inaccurate, feel free to [suggest an improvement](https://github.com/MeeseeksBox/MeeseeksDev).
                