Fixes issue with TextFileReader using python engine and thousands != ","
Fixes #4596

Related to https://github.com/pydata/pandas/pull/4598

I fixed this for floating point numbers in the c parser this weekend. 
 IIUC #4598 @guyrt is or the c-parser and this PR #4602 @cancan101 for the PythonParser?
 @guyrt your tests will hit both c-parse and PythonParser? (I believe you have many more tests as we discussed)

so maybe will merge yours first
 @jreback you understand correctly. My PR has more tests, but they cover the floating point case. This PR covers thousands separators other than ',' in the PythonParser. They could actually be merged in either order.
 @cancan101 ok going to merge this, ready?
 @cancan101 I realize need release notes, and can you squash?
 OK.
 I need to go back and do that for a few of my PRs.
 @jreback Should be good to merge
 @jreback ping
 @cancan101 just need a rebase and can merge
 @jreback Okay. Should be rebased.
 thanks!
