DOC: added a reference to DataFrame assign in concatenate section of merging
Because of various stack overflow answers we are directed to the merging
page where a link to DataFrame.assign would be better. Adding the
reference here will make people's code better. At least it would have
for me.

- [ ] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

For tests, we'll see with CI.