DOC: Fixed to_pickle compression argument list 'gzip' > 'gz'
Removed reference to gzip and replaced with correct extension of gz.

- [x] closes #35364


<img width="842" alt="Screenshot 2020-11-30 at 20 43 59" src="https://user-images.githubusercontent.com/74271903/100664097-17d1f200-334f-11eb-90e3-e37ef7ce7c66.png">
