EHN: multi-column explode
- [x] closes #39240
- [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

Hello @stphnlyd! 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 2021-06-20 15:27:09 UTC This pull request is stale because it has been open for thirty days with no activity. Please update or respond to this comment if you're still interested in working on this. @jreback @phofl could you please take a look at my changes and let me know if there's still something to update? small comments, otherwise lgtm @phofl I've pushed to address your comments @stphnlyd pls merge master @phofl any comments? @stphnlyd can you add a release note. doc/source/whatsnew/v1.4.0.rst @simonjayhawkins thanks I've squashed the PR and now target 1.4.0, and I've added release note. The PR checks failed but that's not caused by my changes.  @phofl good here? Yes lgtm @jreback targeting 1.3 now thanks @stphnlyd very nice @meeseeksdev backport 1.3.x Something went wrong ... Please have  a look at my logs.