DOC: consistent docstring for compression kwarg
- [x] closes #17900
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`

https://github.com/pandas-dev/pandas/pull/17900#discussion_r147927074 removed zip from docstring. But the support to write zip compression was added during March and April this year (mainly https://github.com/pandas-dev/pandas/pull/20394 and a few patches) and now in functional and in production. 

Because #17900 started when there is no zip writing and merged after zip writing support is added, it appears to have inadvertently changed docstring. This PR disambiguates and reflects production.

```
import os
import pandas as pd

a = pd.DataFrame(10000 * [[123, 234, 435]], columns=['A', 'B', 'C'])
a.to_csv('test_compressed', index=False, compression='zip')
b = pd.read_csv('test_compressed', compression='zip')

assert a.equals(b)
os.remove('test_compressed')

>>> pd.__version__
'0.23.3'
```
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22066?src=pr&el=h1) Report
> Merging [#22066](https://codecov.io/gh/pandas-dev/pandas/pull/22066?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/be6ad724aac8470ebf9d246bdd322e71d9b80353?src=pr&el=desc) will **not change** coverage.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/22066/graphs/tree.svg?src=pr&width=650&token=eZ4WkYLtcO&height=150)](https://codecov.io/gh/pandas-dev/pandas/pull/22066?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #22066   +/-   ##
=======================================
  Coverage   92.05%   92.05%           
=======================================
  Files         170      170           
  Lines       50708    50708           
=======================================
  Hits        46677    46677           
  Misses       4031     4031
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.45% <ø> (ø)` | :arrow_up: |
| #single | `42.36% <ø> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/22066?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/generic.py](https://codecov.io/gh/pandas-dev/pandas/pull/22066/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZ2VuZXJpYy5weQ==) | `96.47% <ø> (ø)` | :arrow_up: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/22066/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.19% <ø> (ø)` | :arrow_up: |

------

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> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22066?src=pr&el=footer). Last update [be6ad72...54e1526](https://codecov.io/gh/pandas-dev/pandas/pull/22066?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 thanks @minggli 