BUG: FileCreateError for large excel file created with ExcelWriter
- [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.

- [ ] (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
def generate_multi_mpan_shape(shape_data, discount_data, mpan_eac_data, days_used):
    # Evaluate shape volume
    shape_volume = shape_data.fillna(0).to_numpy().sum()

    num_of_mpans = mpan_eac_data.shape[0]

    options = {}
    options["strings_to_formulas"] = False
    options["strings_to_urls"] = False

    excel_obj = io.BytesIO()

    writer = pd.ExcelWriter(excel_obj, options=options, engine="xlsxwriter")

    for index in range(num_of_mpans):
        # Generate a shape for a given MPAN
        mpan = mpan_eac_data.iloc[index, 0]
        eac = float(mpan_eac_data.iloc[index, 1])
        volume_used = eac * days_used / 365
        volume_ratio = volume_used / shape_volume

        output_data = shape_data.copy(True)
        output_data *= volume_ratio

        # Apply discounts
        if discount_data.iloc[0] != False:
            output_data = apply_discounts(output_data, discount_data)

        output_data = output_data.round(9)
        output_data.insert(0, "MPAN", mpan)
        output_data.insert(1, "Date", output_data.index.values)

        output_data.to_excel(writer, sheet_name=f"{mpan}", index=False, header=False)
        print(index)

    writer.close()

    excel_obj.seek(0)

    return excel_obj

```

#### Problem description

I'm using the following code to generate a multi worksheet excel file using ExcelWriter. This code is being run in a lambda function, which only has 500MB available in the /tmp folder so I've tried to create the file completely in memory. The issue arises when I try to create an excel file that is larger than about 100 MB. 
The following error is returned when ```writer.close()``` is called
```
Traceback (most recent call last):\n  File \"/opt/python/xlsxwriter/workbook.py\", line 320, in close\n    self._store_workbook()\n  File \"/opt/python/xlsxwriter/workbook.py\", line 685, in _store_workbook\n    xml_files = packager._create_package()\n  File \"/opt/python/xlsxwriter/packager.py\", line 135, in _create_package\n    self._write_worksheet_files()\n  File \"/opt/python/xlsxwriter/packager.py\", line 190, in _write_worksheet_files\n    worksheet._assemble_xml_file()\n  File \"/opt/python/xlsxwriter/worksheet.py\", line 3875, in _assemble_xml_file\n    self._write_sheet_data()\n  File \"/opt/python/xlsxwriter/worksheet.py\", line 5483, in _write_sheet_data\n    self._write_rows()\n  File \"/opt/python/xlsxwriter/worksheet.py\", line 5676, in _write_rows\n    self._write_cell(row_num, col_num, col_ref)\n  File \"/opt/python/xlsxwriter/worksheet.py\", line 5857, in _write_cell\n    self._xml_number_element(cell.number, attributes)\n  File \"/opt/python/xlsxwriter/xmlwriter.py\", line 137, in _xml_number_element\n    self.fh.write(\"\"\"<c%s><v>%.16G</v></c>\"\"\" % (attr, number))\n  File \"/var/lang/lib/python3.8/codecs.py\", line 721, in write\n    return self.writer.write(data)\n  File \"/var/lang/lib/python3.8/codecs.py\", line 378, in write\n    self.stream.write(data)\nOSError: [Errno 28] No space left on device\n\nDuring handling of the above exception, another exception occurred:\n\nTraceback (most recent call last):\n  File \"/var/task/src/forecasting/shape_tool/shape_tool_controller.py\", line 133, in generate_multi_shape\n    output_file = service.generate_multi_mpan_shape(\n  File \"/var/task/src/forecasting/forecasting_logging.py\", line 32, in wrapper_func\n    obj = func(*args)\n  File \"/var/task/src/forecasting/shape_tool/shape_tool_service.py\", line 520, in generate_multi_mpan_shape\n    writer.close()\n  File \"/opt/python/pandas/io/excel/_base.py\", line 898, in close\n    content = self.save()\n  File \"/opt/python/pandas/io/excel/_xlsxwriter.py\", line 198, in save\n    return self.book.close()\n  File \"/opt/python/xlsxwriter/workbook.py\", line 322, in close\n    raise FileCreateError(e)\nxlsxwriter.exceptions.FileCreateError: [Errno 28] No space left on device"
```
I'm not sure what is causing the issue here. The error seems to be saying that it is trying to save the file to disk but there is no space, but this is what I was trying to avoid by creating the file completely in memory

#### Expected Output

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

<details>

INSTALLED VERSIONS
------------------
commit           : 67a3d4241ab84419856b84fc3ebc9abcbe66c6b3
python           : 3.8.2.final.0
python-bits      : 64
OS               : Linux
OS-release       : 4.4.0-17763-Microsoft
Version          : #1432-Microsoft Mon Aug 18 18:18:00 PST 2020
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : C.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.1.4
numpy            : 1.19.4
pytz             : 2020.4
dateutil         : 2.8.1
pip              : 19.2.3
setuptools       : 41.2.0
Cython           : None
pytest           : 6.1.2
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : 1.3.7
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         : 3.0.5
pandas_gbq       : None
pyarrow          : None
pytables         : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : None
tables           : None
tabulate         : None
xarray           : None
xlrd             : 1.2.0
xlwt             : None
numba            : None
</details>
