BUG: set keyword argument so zipfile actually compresses
- [x] closes https://github.com/pandas-dev/pandas/issues/17778
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

zipfile.ZipFile has default compression mode `zipfile.ZIP_STORED`. It creates an uncompressed archive member. Whilst it doesn't cause issue, it is a strange default to have given users would want to compress files.

In order for zip compression to actually reduce file size, keyword argument `compression=zipfile.ZIP_DEFLATED` is added.
