DOC: consistent docstring for compression kwarg
State: closed

- [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'
```

Labels:
name: Docs
name: IO Data
description: IO issues that don't fit into a more specific label

Comments:
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/22066?src=pr&el=h1) Report
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```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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thanks @minggli