Add documentation linking to sqlalchemy

[cruzzoe]

• closes It is not clear whether database connection need to be closed manually after calling pd.read_sql() #23086
• tests added / passed
• passes black pandas
• passes git diff upstream/master -u -- "*.py" | flake8 --diff
• [ n/a] whatsnew entry

[alimcmaster1]

Thanks very much for the PR:

You can do something like:

For documentation on pyarrow, see `here
        <https://arrow.apache.org/docs/python/index.html>`__.

For reference see:
https://sublime-and-sphinx-guide.readthedocs.io/en/latest/references.html

To avoid it rendering like so:

[alimcmaster1]

See my comments in the PR - thanks!

[cruzzoe]

Thanks for the feedback - new pull request here: f080f98