TST: Clean up pickle compression tests
xref #19226

Move compression fixture to top-level ``conftest.py``

Clean-up compression tests in ``pandas/tests/io/test_pickle.py`` and add zip to the ``decompress_file`` testing utility

Make some minor adjustments to the json and csv compression tests to skip zip compression when it's not valid

lgtm. ping on green (or at least all linux builds on travis), seems mac may have some issues. # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19350?src=pr&el=h1) Report
> Merging [#19350](https://codecov.io/gh/pandas-dev/pandas/pull/19350?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/5fdb9c0edef57da4b29a437eca84bad5f20719b7?src=pr&el=desc) will **decrease** coverage by `<.01%`.
> The diff coverage is `0%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/19350/graphs/tree.svg?width=650&height=150&token=eZ4WkYLtcO&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/19350?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #19350      +/-   ##
==========================================
- Coverage   91.57%   91.56%   -0.01%     
==========================================
  Files         150      150              
  Lines       48705    48704       -1     
==========================================
- Hits        44600    44598       -2     
- Misses       4105     4106       +1
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.93% <0%> (-0.01%)` | :arrow_down: |
| #single | `41.71% <0%> (-0.01%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/19350?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/util/testing.py](https://codecov.io/gh/pandas-dev/pandas/pull/19350/diff?src=pr&el=tree#diff-cGFuZGFzL3V0aWwvdGVzdGluZy5weQ==) | `83.83% <0%> (-0.62%)` | :arrow_down: |
| [pandas/core/indexing.py](https://codecov.io/gh/pandas-dev/pandas/pull/19350/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhpbmcucHk=) | `93.11% <0%> (+0.49%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19350?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19350?src=pr&el=footer). Last update [5fdb9c0...16328e0](https://codecov.io/gh/pandas-dev/pandas/pull/19350?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @jreback it's green now, thanks! Thanks @reidy-p !