BUG: pd.read_sql returns empty list if query has no results and chunksize is set
- [ x] I have checked that this issue has not already been reported.

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

- [x ] (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
import sqlite3

# Create empty test table in memory
conn = sqlite3.connect(':memory:')
conn.cursor().execute('CREATE TABLE test (column_1 INTEGER);')

# Run the query without chunksize, works as expected
pd.read_sql('select * from test', conn)

# Run the query with chunksize, returns generator as expected
pd.read_sql('select * from test', conn, chunksize=5)

# However, the generator is empty
list(pd.read_sql('select * from test', conn, chunksize=5))

# I would expect, that for all cases where chunksize isn't necessary,
# than the following two lines would return exactly the same
# result, but the second throws "ValueError: No objects to concatenate"
pd.read_sql('select * from test', conn)

pd.concat(pd.read_sql('select * from test', conn, chunksize=5))
```


#### Problem description

In many cases, returning zero rows is an expected result, and the code should run fine on the returned DataFrame (iterating over it, getting all values in a row, etc.).

The current behaviour instead returns an empty list, with no information about for example the columns in the dataframe.

#### Expected Output

The expected output would be a list containing a single empty dataframe, with the correct column metadata. I would expect that for all queries that run fine without chunkbite being set, the following equality should hold:

```
pd.testing.assert_frame_equal(
    pd.read_sql(query, conn),
    pd.concat(pd.read_sql(query, conn, chunksize=5))
)
```

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

<details>

INSTALLED VERSIONS
------------------
commit           : 333db4b765f8e88c0c2392943cb7d6c6013dc6e8
python           : 3.8.2.final.0
python-bits      : 64
OS               : Darwin
OS-release       : 18.7.0
Version          : Darwin Kernel Version 18.7.0: Thu Jan 23 06:52:12 PST 2020; root:xnu-4903.278.25~1/RELEASE_X86_64
machine          : x86_64
processor        : i386
byteorder        : little
LC_ALL           : None
LANG             : en_GB.UTF-8
LOCALE           : en_GB.UTF-8

pandas           : 1.1.0.dev0+1685.g333db4b76.dirty
numpy            : 1.18.4
pytz             : 2020.1
dateutil         : 2.8.1
pip              : 20.1.1
setuptools       : 46.4.0.post20200518
Cython           : 0.29.19
pytest           : 5.4.2
hypothesis       : 5.16.0
sphinx           : 3.0.4
blosc            : None
feather          : None
xlsxwriter       : 1.2.8
lxml.etree       : 4.5.1
html5lib         : 1.0.1
pymysql          : None
psycopg2         : None
jinja2           : 2.11.2
IPython          : 7.14.0
pandas_datareader: None
bs4              : 4.9.1
bottleneck       : 1.3.2
fastparquet      : 0.4.0
gcsfs            : None
matplotlib       : 3.2.1
numexpr          : 2.7.1
odfpy            : None
openpyxl         : 3.0.3
pandas_gbq       : None
pyarrow          : 0.17.1
pytables         : None
pyxlsb           : None
s3fs             : 0.4.2
scipy            : 1.4.1
sqlalchemy       : 1.3.17
tables           : 3.6.1
tabulate         : 0.8.7
xarray           : 0.15.1
xlrd             : 1.2.0
xlwt             : 1.3.0
numba            : 0.48.0

</details>
