ENH: Upgrade Pandas SQLAlchemy code to be compatible with 2.0+ syntax

[scnerd]

Is your feature request related to a problem?

As of SQLAlchemy 1.4, there is a new syntax available that will become the only syntax in version 2.0+. Pandas uses SQLAlchemy for performing SQL IO, particularly in DataFrame.to_sql and pd.read_sql (via pd.read_sql_query and pd.read_sql_table). This usage is not compatible with the new SQLAlchemy syntax.

Describe the solution you'd like

Upgrade Pandas SQLAlchemy code to be compatible with the new 1.4+/2.0+ syntax. An official guide for how to do so in a test-driven fashion is available here. Note that at least the following 2.0+ incompatibility warnings are issued (though this list is by no means exhaustive):

.../pandas/io/sql.py:1313: RemovedIn20Warning: The MetaData.bind argument is deprecated and will be removed in SQLAlchemy 2.0. (Background on SQLAlchemy 2.0 at: http://sqlalche.me/e/b8d9)
meta = MetaData(self.connectable, schema=schema)

.../pandas/io/sql.py:1103: RemovedIn20Warning: The MetaData.bind argument is deprecated and will be removed in SQLAlchemy 2.0. (Background on SQLAlchemy 2.0 at: http://sqlalche.me/e/b8d9)
meta = MetaData(self.pd_sql, schema=schema)

.../sqlalchemy/sql/schema.py:939: RemovedIn20Warning: The ``bind`` argument for schema methods that invoke SQL against an engine or connection will be required in SQLAlchemy 2.0. (Background on SQLAlchemy 2.0 at: http://sqlalche
.me/e/b8d9)
bind = _bind_or_error(self)

.../pandas/io/sql.py:1612: RemovedIn20Warning: The Connection.connect() method is considered legacy as of the 1.x series of SQLAlchemy and will be removed in 2.0. (Background on SQLAlchemy 2.0 at: http://sqlalche.me/e/b8d9)
with self.connectable.connect() as conn:

API breaking implications

The upgrade to the 2.0+ syntax is not backwards compatible, and even the upgrade to 1.4 may require some changes (though it is primarily an incremental step from 1.3). Since the range of SQLA features used by Pandas is limited, there should be little difficulty in supporting both >=2.0 (and hence also ~=1.4) and <=1.3.

Describe alternatives you've considered

The alternative is to pin sqlalchemy<=2.0, or to stop using the Pandas SQL IO functions.

Additional context

The guide linked above shows how to discover SQLA compatibility issues, and then how to tweak the test suite to ensure that no issues are later introduced. Note that many of these upgrades are simple fixes (using connection.execute instead of engine.execute, not binding an Engine into a MetaData instance, not calling Connection.connect, etc.) and that most are backwards-compatible with recent versions of SQLA.

[CaselIT]

There's also this warning being raised when using a connection that's already in a transaction:

lib\site-packages\pandas\io\sql.py:1168: RemovedIn20Warning: Calling .begin() when a transaction is already begun, creating a 'sub' transaction, is deprecated and will be removed in 2.0.  See the documentation section 'Migrating from the nesting pattern' for background on how to migrate from this pattern. (Background on SQLAlchemy 2.0 at: http://sqlalche.me/e/b8d9)
    with self.connectable.begin() as tx: