BUG: Problem importing compressed dataset (with repro datasets)
- [ ] I have checked that this issue has not already been reported.

- [X] I have confirmed this bug exists on the latest version of pandas.

- [ ] (optional) I have confirmed this bug exists on the master branch of pandas.

---

**Note**: Please read [this guide](https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports) detailing how to provide the necessary information for us to reproduce your bug.

#### Code Sample, a copy-pastable example

```python
import pandas as pd
# Read 900-line compressed dataset correctly
pd.read_sas('date_working.sas7bdat')
# Read 1000-line uncompressed dataset correctly
pd.read_sas('date_uncomp.sas7bdat')
# Read 1000-line compressed dataset - crashes (and leaves file open ...)
pd.read_sas('date_broken.sas7bdat')
```

#### Problem description

I have a 1000-row SAS dataset (written by SAS 9.4 TS Level 1M6 on X64_SRV16 platform) which pandas chokes on reading.  I attach the problematic dataset, as well as the same dataset uncompressed and a smaller subset of the compressed dataset that can be correctly read.

[datasets.zip](https://github.com/pandas-dev/pandas/files/5022528/datasets.zip)

Traceback (most recent call last):
  File "<input>", line 1, in <module>
  File "C:\Users\bug\venv\lib\site-packages\pandas\io\sas\sasreader.py", line 131, in read_sas
    data = reader.read()
  File "C:\Users\bug\venv\lib\site-packages\pandas\io\sas\sas7bdat.py", line 695, in read
    rslt = self._chunk_to_dataframe()
  File "C:\Users\bug\venv\lib\site-packages\pandas\io\sas\sas7bdat.py", line 739, in _chunk_to_dataframe
    rslt[name] = self._byte_chunk[jb, :].view(dtype=self.byte_order + "d")
  File "C:\Users\bug\venv\lib\site-packages\pandas\core\frame.py", line 3037, in __setitem__
    self._set_item(key, value)
  File "C:\Users\bug\venv\lib\site-packages\pandas\core\frame.py", line 3113, in _set_item
    value = self._sanitize_column(key, value)
  File "C:\Users\bug\venv\lib\site-packages\pandas\core\frame.py", line 3758, in _sanitize_column
    value = sanitize_index(value, self.index)
  File "C:\Users\bug\venv\lib\site-packages\pandas\core\internals\construction.py", line 748, in sanitize_index
    "Length of values "
ValueError: Length of values (1000) does not match length of index (527)

#### Expected Output

No crash

#### Output of ``pd.show_versions()``

<details>

INSTALLED VERSIONS
------------------
commit           : d9fff2792bf16178d4e450fe7384244e50635733
python           : 3.7.1.final.0
python-bits      : 64
OS               : Windows
OS-release       : 10
Version          : 10.0.17763
machine          : AMD64
processor        : Intel64 Family 6 Model 142 Stepping 9, GenuineIntel
byteorder        : little
LC_ALL           : None
LANG             : None
LOCALE           : None.None
pandas           : 1.1.0
numpy            : 1.18.1
pytz             : 2019.3
dateutil         : 2.8.1
pip              : 10.0.1
setuptools       : 39.0.1
Cython           : None
pytest           : None
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : None
html5lib         : None
pymysql          : None
psycopg2         : None
jinja2           : None
IPython          : None
pandas_datareader: None
bs4              : None
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : None
numexpr          : None
odfpy            : None
openpyxl         : 3.0.3
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : 1.4.1
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : 1.2.0
xlwt             : 1.3.0
numba            : None

</details>

